Global universality via discrete-time signatures

arXiv:2603.09773 · math.PR, cs.LG, q-fin.MF · Submitted 2026-03-10 · Read on arXiv

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

Submitted: 2026-03-10

Updated: 2026-08-27

Terminology

• Calibration — 1× in this paper · explained in 7 episodes
• Theoretical Guarantees — 1× in this paper · explained in 2 episodes

Sources

• Discrete signature and its application to finance
• Orthogonal polynomials on path-space
• Global universal approximation with Brownian signatures
• A Semigroup Point Of View On Splitting Schemes For Stochastic (Partial) Differential Equations
• Sparse arrays of signatures for online character recognition
• Learning from the past, predicting the statistics for the future, learning an evolving system
• The iisignature library: efficient calculation of iterated-integral signatures and log signatures

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