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08/04/2023
Generative Modelling of Lévy Area for High Order SDE Simulation
It is well known that, when numerically simulating solutions to SDEs, ac...
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07/23/2021
Signature asymptotics, empirical processes, and optimal transport
Rough path theory provides one with the notion of signature, a graded fa...
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05/10/2021
SigGPDE: Scaling Sparse Gaussian Processes on Sequential Data
Making predictions and quantifying their uncertainty when the input data...
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06/26/2020