Density of the signature process of fBm
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Publication:5147432
Abstract: We study the density of the signature of fractional Brownian motions with parameter . In particular, we prove existence, smoothness, global Gaussian upper bounds and Varadhan's type asymptotics for this density. A key result is that the estimates on the density we obtain are controlled by the Carnot-Carath'eodory distance of the group.
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Cited in
(7)- Smoothness of densities for area-like processes of fractional Brownian motion
- Expected signature of stopped Brownian motion on \(d\)-dimensional \(C^{2, \alpha }\)-domains has finite radius of convergence everywhere: \(2 \leq d \leq 8\)
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