Tail asymptotics of the Brownian signature
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Publication:5222748
Abstract: The signature of a path gamma is a sequence whose n-th term is the order-n iterated integrals of gamma. It arises from solving multidimensional linear differential equations driven by gamma. We are interested in relating the path properties of gamma with its signature. If gamma is C^{1}, then an elegant formula of Hambly and Lyons relates the length of gamma to the tail asymptotics of the signature. We show an analogous formula for the multidimensional Brownian motion, with the quadratic variation playing a similar role to the length. In the proof, we study the hyperbolic development of Brownian motion and also obtain a new subadditive estimate for the asymptotic of signature, which may be of independent interest. As a corollary, we strengthen the existing uniqueness results for the signatures of Brownian motion.
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Cited in
(15)- Weighted signature kernels
- Stratonovich's signatures of Brownian motion determine Brownian sample paths
- Signature asymptotics, empirical processes, and optimal transport
- The uniqueness of signature problem in the non-Markov setting
- A quasi-sure non-degeneracy property for the Brownian rough path
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- A non-vanishing property for the signature of a path
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