Branched Signature Model

TL;DR

This paper introduces the branched signature model, extending classical rough path theory, with a universal approximation theorem and explicit path extension methods, enabling efficient computation and new applications.

Contribution

It presents a novel branched signature framework, proving universal approximation and explicit path extension, advancing rough path theory and computational methods.

Findings

Universal approximation theorem for branched signatures

Explicit construction of path extensions via map Ψ

Framework enables efficient computation and new applications

Abstract

In this paper, we introduce the branched signature model, motivated by the branched rough path framework of [Gubinelli, Journal of Differential Equations, 248(4), 2010], which generalizes the classical geometric rough path. We establish a universal approximation theorem for the branched signature model and demonstrate that iterative compositions of lower-level signature maps can approximate higher-level signatures. Furthermore, building on the existence of the extension map proposed in [Hairer-Kelly. Annales de l'Institue Henri Poincar\'e, Probabilit\'es et Statistiques 51, no. 1 (2015)], we show how to explicitly construct the extension of the original paths into higher-dimensional spaces via a map $\Psi$, so that the branched signature can be realized as the classical geometric signature of the extended path. This framework not only provides an efficient computational scheme for branched signatures but also opens new avenues for data-driven modeling and applications.