Signature kernel and Schwinger-Dyson kernel equations are recast as two-parameter rough differential equations with well-posedness, stability, and a numerical scheme established for rough driving signals.
arXiv preprint arXiv:1406.7748 , year=
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Signature Kernel and Schwinger-Dyson Kernel Equations as Two-Parameter Rough Differential Equations
Signature kernel and Schwinger-Dyson kernel equations are recast as two-parameter rough differential equations with well-posedness, stability, and a numerical scheme established for rough driving signals.