The uniqueness of signature problem in the non-Markov setting

DOI10.1016/J.SPA.2015.07.012zbMATH Open1333.60111arXiv1401.6165OpenAlexW2159361824MaRDI QIDQ744979FDOQ744979

Authors: X. Geng, Horatio Boedihardjo 

Publication date: 12 October 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: The goal of this paper is to simplify and strengthen the Le Jan-Qian approximation scheme of studying the uniqueness of signature problem to the non-Markov setting. We establish a general framework for a class of multidimensional stochastic processes over [0,1] under which with probability one, the signature (the collection of iterated path integrals in the sense of rough paths) is well-defined and determines the sample paths of the process up to reparametrization. In particular, by using the Malliavin calculus we show that our method applies to a class of Gaussian processes including fractional Brownian motion with Hurst parameter H>1/4, the Ornstein-Uhlenbeck process and the Brownian bridge.

Full work available at URL: https://arxiv.org/abs/1401.6165

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zbMATH Keywords

Malliavin calculusGaussian rough pathssignature problem

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

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Cited In (11)

• Signature asymptotics, empirical processes, and optimal transport
• The signature of a rough path: uniqueness
• A quasi-sure non-degeneracy property for the Brownian rough path
• Uniqueness for the signature of a path of bounded variation and the reduced path group
• Non-degeneracy of stochastic line integrals
• On the lack of Gaussian tail for rough line integrals along fractional Brownian paths
• Sig‐Wasserstein GANs for conditional time series generation
• Superdiffusive limits beyond the Marcus regime for deterministic fast-slow systems
• Tail asymptotics of the Brownian signature
• A new computation method for signature: Markov process method
• A signed measure on rough paths associated to a PDE of high order: results and conjectures

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