Derives local affine structure for Brownian signature transforms via infinite-dimensional linear and Riccati equations on the extended tensor algebra, with randomized versions for global representations.
arXiv preprint arXiv:2511.23295 , year=
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A deep signature LSMC method prices variable annuities with surrender in non-Markovian rough Heston and Volterra models, with fair fees increasing in Hurst parameters.
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Fourier-Laplace Transforms of the Brownian Signature via Riccati Equations on the Tensor Algebra
Derives local affine structure for Brownian signature transforms via infinite-dimensional linear and Riccati equations on the extended tensor algebra, with randomized versions for global representations.