Global universality via discrete-time signatures

Abstract

We establish global universal approximation theorems for non-anticipative and general path-dependent functionals on spaces of piecewise linear paths, stating that linear functionals of the corresponding signatures are dense with respect to $L^p$- and weighted norms. We verify that these approximation results are applicable to piecewise linear interpolations of a class of Gaussian processes, including Brownian motion and fractional Brownian motion with Hurst parameter $H>1/4$. Moreover, we derive quantitative convergence rates for signatures of piecewise linear approximations of Gaussian processes towards their continuous-time counterparts. Consequently, we obtain $L^p$-approximation results for path-dependent functionals of Gaussian processes, as well as for random ordinary differential equations and stochastic differential equations driven by Brownian motion.