Preprints and papers | 2022

Preprints and papers | 2022

Francesco Cosentino, Harald Oberhauser and Alessandro Abate
Grid-Free Computation of Probabilistic Safety with Malliavin Calculus
Accepted to appear in the Technical Notes and Correspondence section of the IEEE Transactions on Automatic Control (27 Dec 2022)   DOI   ORA


Yue Wu, Guy M Goodwin, Terry Lyons and Kate EA Saunders
Identifying psychiatric diagnosis from missing mood data through the use of log-signature features
PLOS ONE, 17(11): e0276821 (17 Nov 2022)   DOI


Terry Lyons and Andrew D McLeod
Signature Methods in Machine Learning
arXiv:2206.14674v2 (15 Nov Jun 2022)   DOI


James Foster and Karen Habermann
Brownian bridge expansions for Lévy area approximations and particular values of the Riemann zeta function
Combinatorics, Probability and Computing (3 Nov 2022)   DOI


James Foster, Gonçalo dos Reis and Calum Strange
High order splitting methods for SDEs satisfying a commutativity condition
arXiv:2210.17543 (1 Nov 2022)


Satoshi HayakawaHarald Oberhauser and Terry Lyons
Hypercontractivity meets Random Convex Hulls: Analysis of Randomized Multivariate Cubatures
arXiv:2210.05787  (11 Oct 2022)   DOI   ORA


Cristopher Salvi, Maud Lemercier and Andris Gerasimovics
Neural Stochastic PDEs: Resolution-Invariant Learning of Continuous Spatiotemporal Dynamics
Accepted to appear in Advances in Neural Information Processing Systems (NeurIPS 2022) (24 Sep 2022)   DOI   ORA


Masaki Adachi, Satoshi Hayakawa, Martin Jørgensen, Harald Oberhauser and Michael A Osborne
Fast Bayesian Inference with Batch Bayesian Quadrature via Kernel Recombination
Accepted to appear in Advances in Neural Information Processing Systems (NeurIPS 2022) (15 Sep 2022)   DOI   ORA


Satoshi Hayakawa, Harald Oberhauser and Terry Lyons
Positively weighted kernel quadrature via subsampling
Accepted to appear in Advances in Neural Information Processing Systems (NeurIPS 2022) (15 Sep 2022)   DOI   ORA


Uzu Lim, Harald Oberhauser and Vidit Nanda
Tangent Space and Dimension Estimation with the Wasserstein Distance
arXiv.org:2110.06357 (15 Sep 2022)   DOI


Csaba Toth, Darrick Lee, Celia Hacker and Harald Oberhauser
Capturing Graphs with Hypo-Elliptic Diffusions
Accepted to appear in Advances in Neural Information Processing Systems (NeurIPS 2022) (14 Sep 2022)   ORA


James Morrill, Patrick Kidger, Lingyi Yang and Terry Lyons
On the Choice of Interpolation Scheme for Neural CDEs
Transactions on Machine Learning Research (8 Sep 2022)   ORA


James Foster, Terry Lyons and Vlad Margarint
An Asymptotic Radius of Convergence for the Loewner Equation and Simulation of SLEκ Traces via Splitting
Journal of Statistical Physics, vol. 189 (18) (3 Sep 2022)   DOI   ORA


Mohamed R Ibrahim and Terry Lyons
ImageSig: A signature transform for ultra-lightweight image recognition
IEEE Computer Society Conference on Computer Vision and Pattern Recognition Workshops (CVPRW) 2022 (23 Aug 2022)   DOI   ORA


Paul Valsecchi Oliva, Yue Wu, Cuiyu He and Hao Ni
Towards fast weak adversarial training to solve high dimensional parabolic partial differential equations using XNODE-WAN
Journal of Computational Physics, vol. 463, 111233 (15 Aug 2022)   DOI


Emilio Rossi Ferrucci and Thomas Cass
On the Wiener Chaos Expansion of the Signature of a Gaussian Process
arXiv:2207.08422 (18 Jul 2022)


Thomas Cass and William F Turner
Topologies on unparameterised path space
arXiv:2206.11153 (22 Jun 2022)


Siran Li and Hao Ni
Expected signature of stopped Brownian motion on d-dimensional C2,α-domains has finite radius of convergence everywhere: 2≤d≤8
Journal of Functional Analysis, vol. 282 (12), pp. 109447 (15 Jun 2022)   DOI


Patric Bonnier, Chong Liu and Harald Oberhauser
Adapted topologies and higher rank signatures
Accepted to appear in Annals of Applied Probability (14 Jun 2022)   DOI


Yue Wu
Backward Euler–Maruyama Method for the Random Periodic Solution of a Stochastic Differential Equation with a Monotone Drift
Journal of Theoretical Probability (2022) (11 May 2022)   DOI


Oghenejokpeme Orhobor, Abbi Abdel Rehim, Hang Lou, Hao Ni and Ross King
A Simple Spatial Extension to the Extended Connectivity Interaction Features for Binding Affinity Prediction
Royal Society Open Science, 9(5):211745 (4 May 2022)   DOI


Emilio Rossi Ferrucci
A Transfer Principle for Branched Rough Paths
arXiv:2205.00582 (1 May 2022)


Weixin YangTerry LyonsHao Ni, Cordelia Schmid, Lianwen Jin
Developing the Path Signature Methodology and its Application to Landmark-based Human Action Recognition
Stochastic Analysis, Filtering, and Stochastic Optimization, pp. 431–464 (22 Apr 2022)   DOI   ORA

Paul Moore, Theodor-Mihai Iliant, Filip-Alexandru Ion, Yue Wu and Terry Lyons
Path signatures for non-intrusive load monitoring
ICASSP 2022 - 2022 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), pp. 3808-3812 (27 Apr 2022)   DOI    ORA


Chad Giusti, Darrick Lee, Vidit Nanda and Harald Oberhauser
A Topological Approach to Mapping Space Signatures
arXiv:2202.00491 (1 Feb 2022)   DOI


Jiale Cheng, Xin Zhang, Hao Ni, Chenyang Li, Xiangmin Xu, Zhengwang Wu, Li Wang, Weili Lin and Gang Li
Path Signature Neural Network of Cortical Features for Prediction of Infant Cognitive Scores
IEEE Transactions on Medical Imaging (28 Jan 2022)   DOI


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