COSA : Interactions in applied mathematics for economics, finance and Insurance / Interactions en mathématiques appliquées à l'économie, la finance et l'assurance

Collection COSA : Interactions in applied mathematics for economics, finance and Insurance / Interactions en mathématiques appliquées à l'économie, la finance et l'assurance

Organizer(s) Ben Amor, Mohamed Amine ; Carassus, Laurence ; Lépinette, Emmanuel ; Omrani, Amal

Date(s) 14/09/2026 - 18/09/2026

linked URL https://conferences.cirm-math.fr/3565.html

00:00:00 / 00:00:00

4 5

Dynamic universal approximation and optimal control for path-dependent systems via signature SDEs

By Christa Cuchiero

Many applications in generative time series modeling, particularly in finance, require stochastic dynamics that are genuinely path-dependent and non-Markovian.

From a numerical perspective, the most natural route is to lift path dependence to an enlarged state space, thereby obtaining a Markovian approximation of the original dynamics.

Among such lifts, signature SDEs provide a canonical and model-agnostic choice, building on the strong algebraic and approximation-theoretic properties of path signatures, which form a universal and non-parametric feature set for paths.

We explain how this leads to dynamic universal approximation results for generic non-Markovian SDEs. We also show how the resulting finite-dimensional signature SDEs can be used in optimal control problems with path-dependent dynamics and objectives.

Information about the video

Date of recording 15/09/2026
Date of publication 19/10/2026
Institution CIRM
Licence CC BY NC ND
Language English
Director(s) Guillaume Hennenfent
Format MP4

Citation data

DOI 10.24350/CIRM.V.20533803
Cite this video Cuchiero, Christa (15/09/2026). Dynamic universal approximation and optimal control for path-dependent systems via signature SDEs. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.20533803
URL https://dx.doi.org/10.24350/CIRM.V.20533803

Domain(s)

Bibliography

CARRONDO, Tomás, CUCHIERO, Christa, HAGER, Paul P., et al. Dynamic Universal Approximation via Signature Controlled Differential Equations. arXiv preprint arXiv:2607.13886, 2026. - https://doi.org/10.48550/arXiv.2607.13886

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