The expected signature of Brownian motion stopped on the boundary of a circle has finite radius of convergence
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Publication:4996913
DOI10.1112/blms.12420zbMath1486.60124arXiv1905.13034OpenAlexW2946892435MaRDI QIDQ4996913
Horatio Boedihardjo, Joscha Diehl, Marc Mezzarobba, Hao Ni
Publication date: 2 July 2021
Published in: Bulletin of the London Mathematical Society (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1905.13034
Brownian motion (60J65) PDEs with randomness, stochastic partial differential equations (35R60) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10) Signatures and data streams (60L10)
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