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Cristopher Salvi
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Year
Deep signature transforms
P Bonnier, P Kidger, IP Arribas, C Salvi, T Lyons
Advances in Neural Information Processing Systems (NeurIPS 19), 2019
158*2019
Neural Rough Differential Equations for Long Time Series
J Morrill, C Salvi, P Kidger, J Foster, T Lyons
International Conference on Machine Learning (ICML 21), 2020
154*2020
The Signature Kernel is the solution of a Goursat PDE
C Salvi, T Cass, J Foster, T Lyons, W Yang
SIAM Journal on Mathematics of Data Science, 2020
76*2020
Sig-SDEs model for quantitative finance
IP Arribas, C Salvi, L Szpruch
ACM International Conference on AI in Finance (ICAIF 20), 2020
492020
Distribution Regression for Sequential Data
M Lemercier, C Salvi, T Damoulas, EV Bonilla, T Lyons
International Conference on Artificial Intelligence and Statistics (AISTATS 21), 2021
47*2021
Neural stochastic PDEs: Resolution-invariant learning of continuous spatiotemporal dynamics
C Salvi, M Lemercier, A Gerasimovics
Advances in Neural Information Processing Systems (NeurIPS 22), 2022
45*2022
Higher Order Kernel Mean Embeddings to Capture Filtrations of Stochastic Processes
C Salvi, M Lemercier, C Liu, B Hovarth, T Damoulas, T Lyons
Advances in Neural Information Processing Systems (NeurIPS 21), 2021
352021
SK-Tree: a systematic malware detection algorithm on streaming trees via the signature kernel
T Cochrane, P Foster, V Chhabra, M Lemercier, C Salvi, T Lyons
IEEE International Conference on Cyber Security and Resilience (IEEE-CSR), 2021
262021
SigGPDE: Scaling Sparse Gaussian Processes on Sequential Data
M Lemercier, C Salvi, T Cass, EV Bonilla, T Damoulas, T Lyons
International Conference on Machine Learning (ICML), 2021
222021
Neural signature kernels as infinite-width-depth-limits of controlled ResNets
NM Cirone, M Lemercier, C Salvi
International Conference on Machine Learning (ICML 23), 2023
192023
Theoretical foundations of deep selective state-space models
NM Cirone, A Orvieto, B Walker, C Salvi, T Lyons
arXiv preprint arXiv:2402.19047, 2024
172024
Non-adversarial training of Neural SDEs with signature kernel scores
Z Issa, B Horvath, M Lemercier, C Salvi
Advances in Neural Information Processing Systems (NeurIPS 23), 2023
172023
New directions in the applications of rough path theory
A Fermanian, T Lyons, J Morrill, C Salvi
IEEE BITS the Information Theory Magazine, 2023
152023
Optimal stopping via distribution regression: a higher rank signature approach
B Horvath, M Lemercier, C Liu, T Lyons, C Salvi
arXiv preprint arXiv:2304.01479, 2023
102023
Signature kernel conditional independence tests in causal discovery for stochastic processes
G Manten, C Casolo, E Ferrucci, SW Mogensen, C Salvi, N Kilbertus
arXiv preprint arXiv:2402.18477, 2024
52024
A Neural RDE approach for continuous-time non-Markovian stochastic control problems
M Hoglund, E Ferrucci, C Hernandez, AM Gonzalez, C Salvi, ...
International Conference on Machine Learning (ICML 23), New Frontiers in …, 2023
52023
Lecture notes on rough paths and applications to machine learning
T Cass, C Salvi
arXiv preprint arXiv:2404.06583, 2024
42024
A path-dependent PDE solver based on signature kernels
A Pannier, C Salvi
arXiv preprint arXiv:2403.11738, 2024
32024
A structure theorem for streamed information
C Salvi, J Diehl, T Lyons, R Preiss, J Reizenstein
Journal of Algebra, 2023
32023
Rough paths, kernels, differential equations and an algebra of functions on streams
C Salvi
University of Oxford, 2021
32021
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