Print Email Facebook Twitter Universality of Signatures in Rough Path Spaces Title Universality of Signatures in Rough Path Spaces: A Kernel-Theoretic Approach to Local and Global Approximations Author Carrondo do Amaral Magalhães Simões, Tomás (TU Delft Electrical Engineering, Mathematics and Computer Science; TU Delft Delft Institute of Applied Mathematics) Contributor Yu, F. (mentor) Cuchiero, Christa (mentor) Redig, F.H.J. (graduation committee) Bartolucci, F. (graduation committee) Degree granting institution Delft University of Technology Programme Applied Mathematics Date 2024-06-21 Abstract This thesis examines the approximation capabilities of path signatures within rough path spaces, focusing on both local and global universality. To this end, we provide a self-contained introduction to Rough Path theory, highlighting the interplay between additive and multiplicative functionals. This leads to the renowned Lyons' Extension theorem and the definition of rough path spaces. We also re-examine the concept of universality from a kernel-theoretic perspective, culminating in the classical universal approximation result for signatures over a compact subset of paths. To broaden the scope beyond compact domains, we introduce the framework of weighted spaces and elaborate on the notion of global universality. Specifically, we formally define globally universal kernels and prove sufficient conditions for their existence. The associated reproducing kernel Hilbert space is shown to approximate a wide range of functions over the entire domain, which may be non-(locally) compact. In particular, we apply these theoretical tools to rough path spaces, thereby cementing the global universality of signatures. Subject SignaturesRough Path TheoryKernelsUniversalityReproducing Kernel Hilbert Spaces To reference this document use: http://resolver.tudelft.nl/uuid:52c1fd89-f57b-4937-bab5-5781c395e152 Part of collection Student theses Document type master thesis Rights © 2024 Tomás Carrondo do Amaral Magalhães Simões Files PDF Thesis.pdf 1.02 MB Close viewer /islandora/object/uuid:52c1fd89-f57b-4937-bab5-5781c395e152/datastream/OBJ/view