Unified signature cumulants and generalized Magnus expansions
DOI10.1017/fms.2022.20OpenAlexW3126575069MaRDI QIDQ5866307
Paul Hager, Peter K. Friz, Nikolas Tapia
Publication date: 13 June 2022
Published in: Forum of Mathematics, Sigma (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2102.03345
Lévy processesMarkov processescharacteristic functionsMagnus expansionsignaturesdiamond productmoment-cumulant relationsstochastic Volterra processesuniversal signature relations for semimartingales
Processes with independent increments; Lévy processes (60G51) Characteristic functions; other transforms (60E10) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Jump processes on general state spaces (60J76) Signatures and data streams (60L10) Applications of rough analysis (60L90)
Related Items (2)
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