Characteristic functions of measures on geometric rough paths
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Abstract: We define a characteristic function for probability measures on the signatures of geometric rough paths. We determine sufficient conditions under which a random variable is uniquely determined by its expected signature, thus partially solving the analogue of the moment problem. We furthermore study analyticity properties of the characteristic function and prove a method of moments for weak convergence of random variables. We apply our results to signature arising from L'evy, Gaussian and Markovian rough paths.
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(38)- A support and density theorem for Markovian rough paths
- Canonical RDEs and general semimartingales as rough paths
- Infinite-dimensional polynomial processes
- Expected signature of stopped Brownian motion on \(d\)-dimensional \(C^{2, \alpha }\)-domains has finite radius of convergence everywhere: \(2 \leq d \leq 8\)
- Signature cumulants, ordered partitions, and independence of stochastic processes
- Toric geometry of path signature varieties
- On the signature and cubature of the fractional Brownian motion for \(H > \frac{1}{2}\)
- Path developments and tail asymptotics of signature for pure rough paths
- An isomorphism between branched and geometric rough paths
- Finite dimensional characteristic functions of Brownian rough path
- General rough integration, Lévy rough paths and a Lévy-Kintchine-type formula
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- Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures
- Optimal execution with rough path signatures
- Unified signature cumulants and generalized Magnus expansions
- \(\mathrm{SL}_2 (\mathbb{R})\)-developments and signature asymptotics for planar paths with bounded variation
- Optimal stopping with signatures
- Weighted signature kernels
- Signature asymptotics, empirical processes, and optimal transport
- Topologies on unparameterised path space
- Nonlinear independent component analysis for discrete-time and continuous-time signals
- Feature engineering with regularity structures
- Sig‐Wasserstein GANs for conditional time series generation
- On the Wiener chaos expansion of the signature of a Gaussian process
- The barycenter in free nilpotent Lie groups and its application to iterated-integrals signatures
- Signature-based community detection for time series
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- Generative modeling of Lévy area for high order SDE simulation
- Robust Hedging GANs: Towards Automated Robustification of Hedging Strategies
- Global universal approximation of functional input maps on weighted spaces
- Average signature of geodesic paths in compact Lie groups
- Signature SDEs from an affine and polynomial perspective
- Embedding and learning with signatures
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