SigMA: Advancing Stochastic Differential Equations with Path Signatures and Multi-Head Attention

This research explores a novel approach to parameter learning in fractional Brownian motion (fBm)-driven stochastic differential equations (SDEs), leveraging path signatures and multi-head attention mechanisms. The utilization of these techniques could potentially improve the accuracy and efficiency of modeling complex stochastic processes.

• •Applies path signatures and multi-head attention to improve parameter learning in SDEs.
• •Focuses on fBm-driven SDEs, which are relevant in various scientific fields.
• •Potentially enhances the modeling of complex stochastic processes.