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Global universal approximation of functional input maps on weighted spaces

Author

Listed:
  • Christa Cuchiero
  • Philipp Schmocker
  • Josef Teichmann

Abstract

We introduce so-called functional input neural networks defined on a possibly infinite dimensional weighted space with values also in a possibly infinite dimensional output space. To this end, we use an additive family to map the input weighted space to the hidden layer, on which a non-linear scalar activation function is applied to each neuron, and finally return the output via some linear readouts. Relying on Stone-Weierstrass theorems on weighted spaces, we can prove a global universal approximation result on weighted spaces for continuous functions going beyond the usual approximation on compact sets. This then applies in particular to approximation of (non-anticipative) path space functionals via functional input neural networks. As a further application of the weighted Stone-Weierstrass theorem we prove a global universal approximation result for linear functions of the signature. We also introduce the viewpoint of Gaussian process regression in this setting and emphasize that the reproducing kernel Hilbert space of the signature kernels are Cameron-Martin spaces of certain Gaussian processes. This paves a way towards uncertainty quantification for signature kernel regression.

Suggested Citation

  • Christa Cuchiero & Philipp Schmocker & Josef Teichmann, 2023. "Global universal approximation of functional input maps on weighted spaces," Papers 2306.03303, arXiv.org, revised Feb 2024.
  • Handle: RePEc:arx:papers:2306.03303
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    File URL: http://arxiv.org/pdf/2306.03303
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    References listed on IDEAS

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    1. Erdinc Akyildirim & Matteo Gambara & Josef Teichmann & Syang Zhou, 2022. "Applications of Signature Methods to Market Anomaly Detection," Papers 2201.02441, arXiv.org, revised Feb 2022.
    2. Christa Cuchiero & Wahid Khosrawi & Josef Teichmann, 2020. "A generative adversarial network approach to calibration of local stochastic volatility models," Papers 2005.02505, arXiv.org, revised Sep 2020.
    3. Terry Lyons & Sina Nejad & Imanol Perez Arribas, 2020. "Non-parametric Pricing and Hedging of Exotic Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 27(6), pages 457-494, November.
    4. Patryk Gierjatowicz & Marc Sabate-Vidales & David v{S}iv{s}ka & Lukasz Szpruch & v{Z}an v{Z}uriv{c}, 2020. "Robust pricing and hedging via neural SDEs," Papers 2007.04154, arXiv.org.
    5. Ming Min & Ruimeng Hu, 2021. "Signatured Deep Fictitious Play for Mean Field Games with Common Noise," Papers 2106.03272, arXiv.org.
    6. Hans Buhler & Blanka Horvath & Terry Lyons & Imanol Perez Arribas & Ben Wood, 2020. "A Data-driven Market Simulator for Small Data Environments," Papers 2006.14498, arXiv.org.
    7. Christa Cuchiero & Francesca Primavera & Sara Svaluto-Ferro, 2022. "Universal approximation theorems for continuous functions of c\`adl\`ag paths and L\'evy-type signature models," Papers 2208.02293, arXiv.org, revised Aug 2023.
    8. Christa Cuchiero & Josef Teichmann, 2019. "Markovian lifts of positive semidefinite affine Volterra-type processes," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 407-448, December.
    9. Christa Cuchiero & Guido Gazzani & Sara Svaluto-Ferro, 2022. "Signature-based models: theory and calibration," Papers 2207.13136, arXiv.org.
    10. Christa Cuchiero & Wahid Khosrawi & Josef Teichmann, 2020. "A Generative Adversarial Network Approach to Calibration of Local Stochastic Volatility Models," Risks, MDPI, vol. 8(4), pages 1-31, September.
    11. Ariel Neufeld & Philipp Schmocker, 2022. "Chaotic Hedging with Iterated Integrals and Neural Networks," Papers 2209.10166, arXiv.org, revised Jul 2024.
    12. Blessing, Jonas & Denk, Robert & Kupper, Michael & Nendel, Max, 2022. "Convex Monotone Semigroups and their Generators with Respect to $\Gamma$-Convergence," Center for Mathematical Economics Working Papers 662, Center for Mathematical Economics, Bielefeld University.
    13. Christa Cuchiero & Josef Teichmann, 2019. "Markovian lifts of positive semidefinite affine Volterra type processes," Papers 1907.01917, arXiv.org, revised Sep 2019.
    14. Imanol Perez Arribas & Cristopher Salvi & Lukasz Szpruch, 2020. "Sig-SDEs model for quantitative finance," Papers 2006.00218, arXiv.org, revised Jun 2020.
    15. Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2021. "Arbitrage-free neural-SDE market models," Papers 2105.11053, arXiv.org, revised Aug 2021.
    16. Christian Bayer & Paul Hager & Sebastian Riedel & John Schoenmakers, 2021. "Optimal stopping with signatures," Papers 2105.00778, arXiv.org.
    17. Terry Lyons & Sina Nejad & Imanol Perez Arribas, 2019. "Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures," Applied Mathematical Finance, Taylor & Francis Journals, vol. 26(6), pages 583-597, November.
    18. Philipp Doersek & Josef Teichmann, 2010. "A Semigroup Point Of View On Splitting Schemes For Stochastic (Partial) Differential Equations," Papers 1011.2651, arXiv.org.
    19. Christa Cuchiero & Sara Svaluto-Ferro & Josef Teichmann, 2023. "Signature SDEs from an affine and polynomial perspective," Papers 2302.01362, arXiv.org.
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    Cited by:

    1. Christa Cuchiero & Eva Flonner & Kevin Kurt, 2024. "Robust financial calibration: a Bayesian approach for neural SDEs," Papers 2409.06551, arXiv.org, revised Sep 2024.
    2. Alexandre Pannier & Cristopher Salvi, 2024. "A path-dependent PDE solver based on signature kernels," Papers 2403.11738, arXiv.org, revised Oct 2024.
    3. Christian Bayer & Luca Pelizzari & John Schoenmakers, 2023. "Primal and dual optimal stopping with signatures," Papers 2312.03444, arXiv.org.
    4. Christa Cuchiero & Tonio Mollmann & Josef Teichmann, 2023. "Ramifications of generalized Feller theory," Papers 2308.03858, arXiv.org.
    5. Reza Arabpour & John Armstrong & Luca Galimberti & Anastasis Kratsios & Giulia Livieri, 2024. "Low-dimensional approximations of the conditional law of Volterra processes: a non-positive curvature approach," Papers 2405.20094, arXiv.org.
    6. Christa Cuchiero & Janka Moller, 2023. "Signature Methods in Stochastic Portfolio Theory," Papers 2310.02322, arXiv.org, revised Oct 2024.

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