Expected signature of stopped Brownian motion on d-dimensional C^2, -domains has finite radius of convergence everywhere: 2 d 8

DOI10.1016/J.JFA.2022.109447MaRDI QIDQ2123100zbMATH OpenOpenAlexFDO

Authors Siran Li, Hao Ni

Publication date 8 April 2022

Published in Journal of Functional Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2011.07917

zbMATH Keywords

expected signaturefirst exit timerough pathstopped Brownian motion

Mathematics Subject Classification ID

Partial differential inequalities and systems of partial differential inequalities (35R45) Rough paths (60L20)

Abstract: A fundamental question in rough path theory is whether the expected signature of a geometric rough path completely determines the law of signature. One sufficient condition is that the expected signature has infinite radius of convergence, which is satisfied by various stochastic processes on a fixed time interval, including the Brownian motion. In contrast, for the Brownian motion stopped upon the first exit time from a bounded domain $Omega$, it is only known that the radius of convergence for the expected signature on sufficiently regular $Omega$ is strictly positive everywhere, and that the radius of convergence is finite at some point when $Omega$ is the $2$-dimensional unit disc ([1]). In this paper, we prove that on any bounded $C^{2,alpha}$-domain $Omegasubsetmathbb{R}^d$ with $2leqdleq8$, the expected signature of the stopped Brownian motion has finite radius of convergence everywhere. A key ingredient of our proof is the introduction of a "domain-averaging hyperbolic development" (see Definition 4.1), which allows us to symmetrize the PDE system for the hyperbolic development of expected signature by averaging over rotated domains.

Recommendations

• The expected signature of Brownian motion stopped on the boundary of a circle has finite radius of convergence
• Characteristic functions of measures on geometric rough paths
• Expected signature of Brownian motion up to the first exit time from a bounded domain
• Tail asymptotics of the Brownian signature
• Remarks on Gross' technique for obtaining a conformal Skorohod embedding of planar Brownian motion
• The first order correction to harmonic measure for random walks of rotationally invariant step distribution
• The exit place of Brownian motion in the complement of a horn
• Necessary and sufficient conditions for finiteness of lifetime
• Density of the signature process of fBm

Cites work

• A note on the notion of geometric rough paths
• Approximations of the Brownian rough path with applications to stochastic analysis
• Characteristic functions of measures on geometric rough paths
• Cubature on Wiener space
• Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004.
• Elliptic partial differential equations of second order
• Expected signature of Brownian motion up to the first exit time from a bounded domain
• scientific article; zbMATH DE number 5870071 (Why is no real title available?)
• scientific article; zbMATH DE number 2134018 (Why is no real title available?)
• Hyperbolic development and inversion of signature
• NIST digital library of mathematical functions
• On the Derivatives of Harmonic Functions on the Boundary
• On the signature and cubature of the fractional Brownian motion for \(H > \frac{1}{2}\)
• Stochastic analysis, rough path analysis and fractional Brownian motions.
• The expected signature of Brownian motion stopped on the boundary of a circle has finite radius of convergence
• Uniqueness for the signature of a path of bounded variation and the reduced path group

Cited in

(5)

• Concentration and exact convergence rates for expected Brownian signatures
• The expected signature of Brownian motion stopped on the boundary of a circle has finite radius of convergence
• Sig‐Wasserstein GANs for conditional time series generation
• On the Wiener chaos expansion of the signature of a Gaussian process
• Expected signature of Brownian motion up to the first exit time from a bounded domain

Describes a project that uses

Uses Software

• DLMF

This page was built for publication: Expected signature of stopped Brownian motion on \(d\)-dimensional \(C^{2, \alpha }\)-domains has finite radius of convergence everywhere: \(2 \leq d \leq 8\)

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2123100)