Preprints and papers | 2019

Preprints and papers | 2019

Patric Bonnier, Patrick Kidger, Imanol Pérez Arribas, Cristopher Salvi and Terry Lyons
Deep Signature Transforms
Advances in Neural Information Processing Systems 32 (Dec 2019)

Paul Moore, Terry Lyons and John Gallacher
Using path signatures to predict a diagnosis of Alzheimer’s disease

PLoS ONE 14(9): e0222212 (19 Sep 2019)

Bo Wang, Maria Liakata, Hao Ni, Terry Lyons, Alejo Nevado-Holgado and Kate Saunders
A Path Signature Approach for Speech Emotion Recognition
Interspeech (Sep 2019)

Patric Bonnier and Harald Oberhauser
Signature Cumulants, Ordered Partitions, and Independence of Stochastic Processes
arXiv:1908.06496 (18 Aug 2019)

 Samuel N Cohen, Martin N. A. Tegnér and Johannes Wiesel
Bounding quantiles of Wasserstein distance between true and empirical measure
arXiv:1907.02006 (3 Jul 2019)

 Andrew L Allan and Samuel N Cohen
Pathwise Stochastic Control with Applications to Robust Filtering
Annals of Applied Probability 2020, 30(5), 2274-2310 (12 Jun 2019)

 Thomas Cass, Dan Crisan, Peter Dobson and Michela Ottobre
Long-time behaviour of degenerate diffusions: UFG-type SDEs and time-inhomogeneous hypoelliptic processes
arXiv:1805.01350 (2 Jun 2019)

Jasdeep Kalsi, Terry Lyons and Imanol Pérez Arribas
Optimal execution with rough path signatures
SIAM Journal on Financial Mathematics 11, no. 2, 470-493 (2 May 2019)

Terry Lyons, Sina Nejad and Imanol Pérez Arribas
Nonparametric pricing and hedging of exotic derivatives
arXiv:1905.00711 (2 May 2019)

Yi Chen, Jing Dong and Hao Ni
ε-Strong Simulation of Fractional Brownian Motion and Related Stochastic Differential Equations
Accepted to appear in Mathematics of Operations Research (21 Feb 2019)

Paul Moore, Terry Lyons and John Gallacher
Random forest prediction of Alzheimer’s disease using pairwise selection from time series data
Alzheimer’s Disease Neuroimaging Initiative
PLoS ONE 14(2): e0211558 (14 Feb 2019)

Samuel N Cohen, Timo Henckel, Gordon D Menzies, Johannes Muhle-Karbe and Daniel J Zizzo
Switching Cost Models as Hypothesis Tests
Economics Letters, vol. 175, 32-35 (Feb 2019)

Andrew L Allan and Samuel N Cohen
Parameter Uncertainty in the Kalman-Bucy Filter
SIAM Journal on Control and Optimization, 57(3), 1646–1671 (2019)

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