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06/25/2023
A Neural RDE approach for continuous-time non-Markovian stochastic control problems
We propose a novel framework for solving continuous-time non-Markovian s...
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05/25/2023
Non-adversarial training of Neural SDEs with signature kernel scores
Neural SDEs are continuous-time generative models for sequential data. S...
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03/30/2023
Neural signature kernels as infinite-width-depth-limits of controlled ResNets
Motivated by the paradigm of reservoir computing, we consider randomly i...
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02/09/2023
New directions in the applications of rough path theory
This article provides a concise overview of some of the recent advances ...
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10/19/2021
Neural Stochastic Partial Differential Equations
Stochastic partial differential equations (SPDEs) are the mathematical t...
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09/08/2021
Higher Order Kernel Mean Embeddings to Capture Filtrations of Stochastic Processes
Stochastic processes are random variables with values in some space of p...
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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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02/16/2021
SK-Tree: a systematic malware detection algorithm on streaming trees via the signature kernel
The development of machine learning algorithms in the cyber security dom...
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09/17/2020
Neural CDEs for Long Time Series via the Log-ODE Method
Neural Controlled Differential Equations (Neural CDEs) are the continuou...
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06/26/2020
Computing the full signature kernel as the solution of a Goursat problem
Recently there has been an increased interested in the development of ke...
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05/21/2019