On an inversion theorem for Stratonovich's signatures of multidimensional diffusion paths

DOI10.1214/14-AIHP644zbMATH Open1333.60171arXiv1304.6985OpenAlexW2224711030MaRDI QIDQ5963224FDOQ5963224

Authors: X. Geng, Zhongmin Qian 

Publication date: 4 March 2016

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: In the present paper, we prove that with probability one, the Stratonovich signatures of a multidimensional diffusion process (possibly degenerate) over [0,1], which is the collection of all iterated Stratonovich's integrals of the diffusion process over [0,1], determine the diffusion sample paths.

Full work available at URL: https://arxiv.org/abs/1304.6985

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zbMATH Keywords

rough pathshypoelliptic diffusionsinversion theoremStratonovich signatures

Mathematics Subject Classification ID

Diffusion processes (60J60) Sample path properties (60G17) Stochastic integrals (60H05) Probabilistic potential theory (60J45)

Cited In (6)

• Signature asymptotics, empirical processes, and optimal transport
• The signature of a rough path: uniqueness
• A simple proof of distance bounds for Gaussian rough paths
• A quasi-sure non-degeneracy property for the Brownian rough path
• Non-degeneracy of stochastic line integrals
• Simple piecewise geodesic interpolation of simple and Jordan curves with applications

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