Uploaded April 2026 | Updated September 2026, 1 week ago
In this talk, Eduardo Abi Jaber explores the interplay between path-signatures, memory, and stationarity, highlighting their implications for machine learning, representation of stochastic processes, and applications in mathematical finance.
The first part provides explicit series expansions to certain stochastic path-dependent integral equations in terms of the path signature of the time augmented driving Brownian motion, while the second part introduces a time-invariant version of the signature: the fading-memory signature, with powerful algebraic, analytic and probabilistic properties and applications to learning stationary relationships in time series.
🔔 Subscribe for more insights on the future of data modeling. Keep up-to-date on SIAM/BFS Webinars at wiki.siam.org/siag-fm/index.php/Current_events#Forthcoming_Talks
Watch *previous SIAM FME webinars* at youtube.com/playlist?list=PLf_ipOSbWC85WhSODpb_AHqtraqSkTVZR
Learn more about *SIAM Activity Group on Financial Mathematics and Engineering* at siam.org/get-involved/connect-with-a-community/activity-groups/financial-mathematics-and-engineering
#SIAM #FinancialMath #PathSignature #Memory #Stationary #MachineLearning #Polynomials #Signatures
In this talk, Eduardo Abi Jaber explores the interplay between path-signatures, memory, and stationarity, highlighting their implications for machine learning, representation of stochastic processes, and applications in mathematical finance.
The first part provides explicit series expansions to certain stochastic path-dependent integral equations in terms of the path signature of the time augmented driving Brownian motion, while the second part introduces a time-invariant version of the signature: the fading-memory signature, with powerful algebraic, analytic and probabilistic properties and applications to learning stationary relationships in time series.
🔔 Subscribe for more insights on the future of data modeling. Keep up-to-date on SIAM/BFS Webinars at wiki.siam.org/siag-fm/index.php/Current_events#Forthcoming_Talks
Watch *previous SIAM FME webinars* at youtube.com/playlist?list=PLf_ipOSbWC85WhSODpb_AHqtraqSkTVZR
Learn more about *SIAM Activity Group on Financial Mathematics and Engineering* at siam.org/get-involved/connect-with-a-community/activity-groups/financial-mathematics-and-engineering
#SIAM #FinancialMath #PathSignature #Memory #Stationary #MachineLearning #Polynomials #Signatures
