Inverting the signature of a path

DOI10.4171/JEMS/796MaRDI QIDQ1644490zbMATH OpenOpenAlexWikidataFDO

Authors Terence J. Lyons, Weijun Xu

Publication date 21 June 2018

Published in Journal of the European Mathematical Society (JEMS) (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1406.7833

zbMATH Keywords

inversionsignaturesymmetrization

Mathematics Subject Classification ID

Topological and differential topological methods for problems in mechanics (70G40) Observability (93B07)

Abstract: The aim of this article is to develop an explicit procedure that enables one to reconstruct any $C^1$ path (at natural parametrization) from its signature. We also explicitly quantify the distance between the reconstructed path and the original path in terms of the number of terms in the signature that are used for the construction and the modulus of continuity of the derivative of the path. A key ingredient in the construction is the use of a procedure of symmetrization that separates the behavior of the path at small and large scales.

Review text

Summary: The aim of this article is to develop an explicit procedure that enables one to reconstruct any \(\mathcal C^1\) path (at natural parametrization) from its signature. We also explicitly quantify the distance between the reconstructed path and the original path in terms of the number of terms in the signature that are used for the construction and the modulus of continuity of the derivative of the path. A key ingredient in the construction is the use of a procedure of symmetrization that separates the behaviour of the path at small and large scales.

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(19)

• Path developments and tail asymptotics of signature for pure rough paths
• Signature inversion for monotone paths
• Learning paths from signature tensors
• Varieties of signature tensors
• Hyperbolic development and inversion of signature
• Iterated integrals and population time series analysis
• Tail asymptotics of the Brownian signature
• Reconstruction for the signature of a rough path
• On the Complexity of Isomorphism Problems for Tensors, Groups, and Polynomials I: Tensor Isomorphism-Completeness
• \(\mathrm{SL}_2 (\mathbb{R})\)-developments and signature asymptotics for planar paths with bounded variation
• Signature asymptotics, empirical processes, and optimal transport
• The accessibility problem for geometric rough differential equations
• Generative modelling of financial time series with structured noise and MMD-based signature learning
• The insertion method to invert the signature of a path
• Shortest-path recovery from signature with an optimal control approach
• On the complexity of isomorphism problems for tensors, groups, and polynomials. I: Tensor isomorphism-completeness
• Average signature of geodesic paths in compact Lie groups
• The uniqueness of signature problem in the non-Markov setting
• Embedding and learning with signatures

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