Expected signature of stopped Brownian motion on \(d\)-dimensional \(C^{2, \alpha }\)-domains has finite radius of convergence everywhere: \(2 \leq d \leq 8\) (Q2123100): Difference between revisions

A fundamental concept in rough path theory is the signature of the path; closely related to it is the expected signature of a (random) rough path. The \textit{moment problem} in this setting asks whether the expected signature uniquely determines the law of the rough path. A sufficient condition, proven by \textit{I. Chevyrev} and \textit{T. Lyons} [Ann. Probab. 44, No. 6, 4049--4082 (2016; Zbl 1393.60008)], is for the radius of convergence of the expected signature to be infinite; this has been verified for fractional Brownian motion of parameter \(H\in (1/4,1)\), but left open for Brownian motion stopped upon exiting a bounded domain \(\Omega\). Here the authors give a rather complete solution to the latter problem, by showing that for \(2\leq d\leq 8\) and any bounded \(C^{2,\alpha}\)-domain in \(\mathbb{R}^d\), the expected signature of a Brownian motion stopped upon the first exit time from \(\Omega\) has finite radius of convergence, at every point in \(\Omega\). The result generalizes the one by \textit{H. Boedihardjo} et al. [Bull. Lond. Math. Soc. 53, No. 1, 285--299 (2021; Zbl 1486.60124)], where this was shown for the \(2\)-dimensional unit disk, and relies on the introduction of a new ``domain-averaging development'' of the expected signature, obtained by averaging the hyperbolic development over the rotated images of the domain \(\Omega\).