On the signature and cubature of the fractional Brownian motion for H > 12

DOI10.1016/J.SPA.2019.04.013zbMATH Open1471.60090arXiv1609.07352OpenAlexW2944937736MaRDI QIDQ2301477FDOQ2301477

Riccardo Passeggeri

Publication date: 24 February 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: In this work we present different results concerning the signature and the cubature of fractional Brownian motion (fBm). The first result regards the rate of convergence of the expected signature of the linear piecewise approximation of the fBm to its exact value, for a value of the Hurst parameter $Hin(frac12,1)$. We show that the rate of convergence is given by $2H$. We believe that this rate is sharp as it is consistent with the result of Ni and Xu, who showed that the sharp rate of convergence for the Brownian motion (i.e. fBm with $H=frac12$) is given by $1$. The second result regards the bound of the coefficient of the rate of convergence obtained in the first result. We obtain an uniform bound for the coefficient for the $2k$-th term of the signature of $fracildeAk(2k-1)(k-1)!2^k$, where $ildeA$ is a finite constant independent of $k$. The third result regards the sharp decay rate of the expected signature of the fBm. We obtain a sharp bound for the $2k$-th term of the expected signature of $frac1k!2^k$. The last results concern the cubature method for the fBm for $H>frac12$. In particular, we develop the framework of the cubature method for fBm, provide a bound for the approximation error in the general case, and obtain the cubature formula for the fBm in a particular setting. These results extend the work of Lyons and Victoir, who focused on the Brownian motion case.

Full work available at URL: https://arxiv.org/abs/1609.07352

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zbMATH Keywords

rate of convergencefractional Brownian motionsignaturecubature methodsharp decay rate

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Signatures and data streams (60L10)

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Cited In (6)

• On the Wiener chaos expansion of the signature of a Gaussian process
• Expected signature of stopped Brownian motion on \(d\)-dimensional \(C^{2, \alpha }\)-domains has finite radius of convergence everywhere: \(2 \leq d \leq 8\)
• Cubature Method for Stochastic Volterra Integral Equations
• Sig‐Wasserstein GANs for conditional time series generation
• An application of the multiplicative Sewing Lemma to the high order weak approximation of stochastic differential equations
• The expected signature of Brownian motion stopped on the boundary of a circle has finite radius of convergence

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