Hyperbolic development and inversion of signature

DOI10.1016/J.JFA.2016.12.024MaRDI QIDQ509732zbMATH OpenOpenAlexFDO

Authors Terence J. Lyons, Weijun Xu

Publication date 17 February 2017

Published in Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1507.00286

zbMATH Keywords

signaturepiecewise linear pathshyperbolic development

Mathematics Subject Classification ID

Curves in Euclidean and related spaces (53A04) Higher-dimensional and -codimensional surfaces in Euclidean and related (n)-spaces (53A07)

Abstract: We develop a simple procedure that allows one to explicitly reconstruct any piecewise linear path from its signature. The construction is based on the development of the path onto the hyperbolic space.

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Cites work

• scientific article; zbMATH DE number 1149837 (Why is no real title available?)
• Integration of Paths--A Faithful Representation of Paths by Noncommutative Formal Power Series
• Integration of paths, geometric invariants and a generalized Baker-Hausdorff formula
• Inverting the signature of a path
• Iterated Integrals and Exponential Homomorphisms^†
• Stochastic area for Brownian motion on the Sierpiński gasket
• Uniqueness for the signature of a path of bounded variation and the reduced path group

Cited in

(24)

• Algorithm 1004: the iisignature library: efficient calculation of iterated-integral signatures and log signatures
• The insertion method to invert the signature of a path
• Weighted signature kernels
• Embedding and learning with signatures
• Signature asymptotics, empirical processes, and optimal transport
• Inverting the signature of a path
• Topologies on unparameterised path space
• Uniqueness for the signature of a path of bounded variation and the reduced path group
• Expected signature of stopped Brownian motion on \(d\)-dimensional \(C^{2, \alpha }\)-domains has finite radius of convergence everywhere: \(2 \leq d \leq 8\)
• New directions in rough path theory. Abstracts from the workshop held December 6--12, 2020 (online meeting)
• Varieties of signature tensors
• Reconstruction for the signature of a rough path
• \(\mathrm{SL}_2 (\mathbb{R})\)-developments and signature asymptotics for planar paths with bounded variation
• Signature inversion for monotone paths
• Learning paths from signature tensors
• The accessibility problem for geometric rough differential equations
• Rough paths, signatures and the modelling of functions on streams
• A topological approach to mapping space signatures
• The expected signature of Brownian motion stopped on the boundary of a circle has finite radius of convergence
• Iterated integrals and population time series analysis
• Shortest-path recovery from signature with an optimal control approach
• Path developments and tail asymptotics of signature for pure rough paths
• Tail asymptotics of the Brownian signature
• Decomposing tensor spaces via path signatures

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