Expected signature of Brownian motion up to the first exit time from a bounded domain (Q888541): Difference between revisions

The authors study the expected signature of a Brownian motion up to the first exit time from a bounded domain in a Euclidean space. The main contribution of the study is to prove that the tensor series valued function satisfies an elliptic PDE system under a boundary condition. Based on an iterative technique, the authors justify the geometric bounds for the terms in the value function. This research extends existing results to a stopping time situation of a random terminal time and presents some open problems for future study, in terms of the law of the signature.