Stratonovich's signatures of Brownian motion determine Brownian sample paths

DOI10.1007/S00440-012-0454-ZMaRDI QIDQ377519zbMATH OpenOpenAlexFDO

Authors Yves Le Jan, Zhongmin Qian

Publication date 6 November 2013

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1102.3601

zbMATH Keywords

Brownian motionrough pathssignatures

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Probabilistic potential theory (60J45)

Abstract: The signature of Brownian motion in $mathbb{R}^d$ over a running time interval $[0,T]$ is the collection of all iterated Stratonovich path integrals along the Brownian motion. We show that, in dimension $dgeq2$, almost all Brownian motion sample paths (running up to time $T$) are determined by its signature over $[0,T]$

Review text

The authors consider Stratonovich's signatures of Brownian motion (SSBM) in this paper, where SSBM in \(\mathbb R^d\) over a running time interval \([0,T]\) is the collection of all iterated Stratonovich path integrals along the Brownian motion. The main result of the paper states that for \(d\geq 2\) almost all \(d\)-dimensional Brownian paths can be recovered from their Stratonovich's signature, meaning theoretically, that all information recorded in Brownian motion from 0 to 1 can be read out from the Stratonovich signature over \([0,1].\)

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Cites work

• Differential equations driven by rough signals
• scientific article; zbMATH DE number 3642454 (Why is no real title available?)
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• Multiple Wiener integral
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• System Control and Rough Paths
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Cited in

(12)

• Functional linear regression with truncated signatures
• A quasi-sure non-degeneracy property for the Brownian rough path
• Simple piecewise geodesic interpolation of simple and Jordan curves with applications
• The signature of a rough path: uniqueness
• Recovering the pathwise Itô solution from averaged Stratonovich solutions
• Multi-occupation field generates the Borel-sigma-field of loops
• The expected signature of Brownian motion stopped on the boundary of a circle has finite radius of convergence
• Tail asymptotics of the Brownian signature
• On an inversion theorem for Stratonovich's signatures of multidimensional diffusion paths
• Signature asymptotics, empirical processes, and optimal transport
• The uniqueness of signature problem in the non-Markov setting
• Expected signature of Brownian motion up to the first exit time from a bounded domain

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