Global universal approximation with Brownian signatures

arXiv:2512.16396 · math.PR, cs.LG, q-fin.MF · Submitted 2025-12-18 · Read on arXiv

math.PR, cs.LG, q-fin.MF

Submitted: 2025-12-18

Updated: 2026-09-09

License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/

Terminology

• Calibration — 5× in this paper · explained in 7 episodes
• Adaptation — 1× in this paper · explained in 1 episode
• Admissibility — 1× in this paper · explained in 2 episodes
• Stochastic Dynamics — 1× in this paper · explained in 2 episodes
• Verification — 1× in this paper · explained in 2 episodes

Sources

• Pricing American options under rough volatility using deep-signatures and signature-kernels
• Sparse arrays of signatures for online character recognition
• Learning from the past, predicting the statistics for the future, learning an evolving system

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