Global universal approximation with Brownian signatures
By: Mihriban Ceylan, David J. Prömel
We establish $L^p$-type universal approximation theorems for general and non-anticipative functionals on suitable rough path spaces, showing that linear functionals acting on signatures of time-extended rough paths are dense with respect to an $L^p$-distance. To that end, we derive global universal approximation theorems for weighted rough path spaces. We demonstrate that these $L^p$-type universal approximation theorems apply in particular to Brownian motion. As a consequence, linear functionals on the signature of the time-extended Brownian motion can approximate any $p$-integrable stochastic process adapted to the Brownian filtration, including solutions to stochastic differential equations.
Similar Papers
Universal approximation on non-geometric rough paths and applications to financial derivatives pricing
Functional Analysis
Makes math models for money work better.
Signature volatility models: pricing and hedging with Fourier
Pricing of Securities
Prices and protects against risky stock moves.
Constructive Approximation under Carleman's Condition, with Applications to Smoothed Analysis
Probability
Helps computers learn faster from data.