Rough Path Signatures: Learning Neural RDEs for Portfolio Optimization

By Ali Atiah Alzahrani

Published 2025-11-03

Everscope rating

1599.4

Relevance to quantitative trading

8 / 10

Implementation complexity

8 / 10

Reproducibility

4 / 5

About this paper

Methodology: Signature-RDE BSDE (Sig-RDE). Problem types: Portfolio Optimization, Risk Management, Path-Dependent Option Pricing (Asian, Barrier), Stochastic Control (HJB/2BSDE), PDE Solving (Path-Dependent PDEs / PPDEs), Sequence-to-Path Learning, Optimization.

arXiv:2510.10728 · Code · Paper rankings

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