Tail asymptotics of the Brownian signature
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Publication:5222748
DOI10.1090/TRAN/7683zbMATH Open1478.60163arXiv1609.08111OpenAlexW2962890511WikidataQ129298044 ScholiaQ129298044MaRDI QIDQ5222748FDOQ5222748
Authors: Horatio Boedihardjo, X. Geng 
Publication date: 3 July 2019
Published in: Transactions of the American Mathematical Society (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1609.08111
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Cited In (14)
- Signature asymptotics, empirical processes, and optimal transport
- Stratonovich's signatures of Brownian motion determine Brownian sample paths
- A quasi-sure non-degeneracy property for the Brownian rough path
- The uniqueness of signature problem in the non-Markov setting
- On an inversion theorem for Stratonovich's signatures of multidimensional diffusion paths
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- 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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- Weighted signature kernels
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