The Signature Kernel Is the Solution of a Goursat PDE.

Cristopher Salvi Thomas Cass James Foster Terry J. Lyons Weixin Yang

Published in: SIAM J. Math. Data Sci. (2021)

Keyphrases

numerical algorithms
optimal solution
support vector
partial differential equations
data sets
neural network
feature space
kernel function
mathematical model
closed form
reproducing kernel hilbert space
scale spaces
signature verification
positive definite