Time-augmented Brownian signatures admit entire signature expansions of conditional Fourier-Laplace transforms and local Riccati expansions of their logs, with global recovery via recentered randomized Riccati equations.
\ Tissot-Daguette, V
4 Pith papers cite this work. Polarity classification is still indexing.
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Pith papers citing it
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Algebraic Malliavin calculus on Brownian signatures yields closed-form operators and tractable Greeks for path-dependent options under signature volatility.
Rough-path market models satisfying no-controlled-free-lunch reduce admissible drivers to Itô lifts of Brownian motion (up to time change) once signature-type strategies are allowed.
Signature linearization reduces optimal market making to pseudo-linear optimization over expected signatures of augmented paths, with Sig-REINFORCE algorithm learning bid/ask quotes and outperforming PPO on Poisson and Hawkes arrival models.
citing papers explorer
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Affine Structure of the Brownian Signature
Time-augmented Brownian signatures admit entire signature expansions of conditional Fourier-Laplace transforms and local Riccati expansions of their logs, with global recovery via recentered randomized Riccati equations.
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Malliavin calculus for signatures with applications to finance
Algebraic Malliavin calculus on Brownian signatures yields closed-form operators and tractable Greeks for path-dependent options under signature volatility.
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Unbiased Rough Integrators and No Free Lunch in Rough-Path-Based Market Models
Rough-path market models satisfying no-controlled-free-lunch reduce admissible drivers to Itô lifts of Brownian motion (up to time change) once signature-type strategies are allowed.
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Signature Methods for Optimal Market Making
Signature linearization reduces optimal market making to pseudo-linear optimization over expected signatures of augmented paths, with Sig-REINFORCE algorithm learning bid/ask quotes and outperforming PPO on Poisson and Hawkes arrival models.