Expected Signature Kernels for Lévy Rough Paths
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arXiv
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| Autores principales: | , |
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| Formato: | Preprint |
| Publicado: |
2025
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| _version_ | 1866908527962882048 |
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| author | Friz, Peter K. Hager, Paul P. |
| author_facet | Friz, Peter K. Hager, Paul P. |
| contents | The expected signature kernel arises in statistical learning tasks as a similarity measure of probability measures on path space. Computing this kernel for known classes of stochastic processes is an important problem that, in particular, can help reduce computational costs. Building on the representation of the expected signature of (inhomogeneous) Lévy processes with absolutely continuous characteristics as the development of an absolutely continuous path in the extended tensor algebra [F.-H.-Tapia, Forum of Mathematics: Sigma (2022), "Unified signature cumulants and generalized Magnus expansions"], we extend the arguments developed for smooth rough paths in [Lemercier-Lyons-Salvi, "Log-PDE Methods for Rough Signature Kernels"] to derive a PDE system for the expected signature of inhomogeneous Lévy processes. As a specific example, we see that the expected signature kernel of Gaussian martingales satisfies a Goursat PDE. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2509_07893 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Expected Signature Kernels for Lévy Rough Paths Friz, Peter K. Hager, Paul P. Probability Machine Learning 60L10, 60L90, 60E10, 60G44, 60G48, 60G51, 60J76 The expected signature kernel arises in statistical learning tasks as a similarity measure of probability measures on path space. Computing this kernel for known classes of stochastic processes is an important problem that, in particular, can help reduce computational costs. Building on the representation of the expected signature of (inhomogeneous) Lévy processes with absolutely continuous characteristics as the development of an absolutely continuous path in the extended tensor algebra [F.-H.-Tapia, Forum of Mathematics: Sigma (2022), "Unified signature cumulants and generalized Magnus expansions"], we extend the arguments developed for smooth rough paths in [Lemercier-Lyons-Salvi, "Log-PDE Methods for Rough Signature Kernels"] to derive a PDE system for the expected signature of inhomogeneous Lévy processes. As a specific example, we see that the expected signature kernel of Gaussian martingales satisfies a Goursat PDE. |
| title | Expected Signature Kernels for Lévy Rough Paths |
| topic | Probability Machine Learning 60L10, 60L90, 60E10, 60G44, 60G48, 60G51, 60J76 |
| url | https://arxiv.org/abs/2509.07893 |