Insertion algorithm for inverting the signature of a path
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Publication:6322360
arXiv1907.08423MaRDI QIDQ6322360FDOQ6322360
Authors: Jiawei Chang, Terence J. Lyons 
Publication date: 19 July 2019
Abstract: In this article we introduce the insertion method for reconstructing the path from its signature, i.e. inverting the signature of a path. For this purpose, we prove that a converging upper bound exists for the difference between the inserted n-th term and the (n+1)-th term of the normalised signature of a smooth path, and we also show that there exists a constant lower bound for a subsequence of the terms in the normalised signature of a piecewise linear path. We demonstrate our results with numerical examples.
Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic analysis (60H99)
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