Defines the EFM-signature as a stationarized, mean-reverting analogue of the path signature with algebraic properties, Markovian evolution as a group-valued OU process, and explicit formulas for expectations.
Rough evolution equations
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Exponentially Fading Memory Signature
Defines the EFM-signature as a stationarized, mean-reverting analogue of the path signature with algebraic properties, Markovian evolution as a group-valued OU process, and explicit formulas for expectations.