Title: Random signature methods and portfolio selection
Date: Friday, November 20, 2020
Place and Time: Zoom, 3:35-4:25 pm
Abstract. We introduce the signature process from a classical control theoretic point of view and from semi-martingale point of view. A tractable randomized version of it is then constructed, relations to machine learning and reservoir computing are highlighted, and the results are applied to problems of portfolio selection (joint works with Erdinc Akyildirim, Christa Cuchiero, Lukas Gonon, Lyudmila Grigoryeva, Juan-Pablo Ortega, Syang Zhou).