The Signature Kernel Is the Solution of a Goursat PDE

SIAM Journal on Mathematics of Data Science ◽

10.1137/20m1366794 ◽

2021 ◽

Vol 3 (3) ◽

pp. 873-899

Author(s):

Cristopher Salvi ◽

Thomas Cass ◽

James Foster ◽

Terry Lyons ◽

Weixin Yang

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