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.

Review text

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 \(\Omega\).

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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

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