Deep Signature and Neural RDE Methods for Path-Dependent Portfolio Optimization

We present a deep BSDE and 2BSDE solver that combines truncated log signatures with a neural rough differential equation backbone for high dimensional, path dependent valuation and control. The design aligns stochastic analysis with sequence to path learning, using a CVaR tilted objective to emphasize left tail risk and an optional second order head for risk sensitive control. Under equal compute and parameter budgets, the method improves accuracy, tail fidelity, and training stability across Asian and barrier option pricing and portfolio control tasks. At 200 dimensions, it achieves CVaR(0.99) = 9.8 percent compared to 12.0-13.1 percent for strong baselines, while attaining low HJB residuals and small RMSE for Z and Gamma. Ablations confirm complementary gains from the sequence to path representation and the second order structure. Overall, the results show that combining stochastic analysis with modern deep learning expands the class of solvable path dependent financial models at scale.