Global universality via discrete-time signatures

Mihriban Ceylan and David J. Pr\"omel

Papers from arXiv.org

Abstract: We establish global universal approximation theorems on spaces of piecewise linear paths, stating that linear functionals of the corresponding signatures are dense with respect to $L^p$- and weighted norms, under an integrability condition on the underlying weight function. As an application, we show that piecewise linear interpolations of Brownian motion satisfies this integrability condition. Consequently, we obtain $L^p$-approximation results for path-dependent functionals, random ordinary differential equations, and stochastic differential equations driven by Brownian motion.

Date: 2026-03
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2603.09773 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2603.09773

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().