The uniqueness of signature problem in the non-Markov setting
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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.
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Cites work
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- scientific article; zbMATH DE number 520220 (Why is no real title available?)
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Cited in
(21)- Uniqueness for the signature of a path of bounded variation and the reduced path group
- A quasi-sure non-degeneracy property for the Brownian rough path
- A new computation method for signature: Markov process method
- On the Wiener chaos expansion of the signature of a Gaussian process
- Signature cumulants, ordered partitions, and independence of stochastic processes
- A signed measure on rough paths associated to a PDE of high order: results and conjectures
- Non-degeneracy of stochastic line integrals
- A non-vanishing property for the signature of a path
- Reconstruction for the signature of a rough path
- On the lack of Gaussian tail for rough line integrals along fractional Brownian paths
- Sig‐Wasserstein GANs for conditional time series generation
- Tail asymptotics of the Brownian signature
- Signature asymptotics, empirical processes, and optimal transport
- Stratonovich's signatures of Brownian motion determine Brownian sample paths
- Density of the signature process of fBm
- Characteristic functions of measures on geometric rough paths
- Superdiffusive limits beyond the Marcus regime for deterministic fast-slow systems
- The signature of a rough path: uniqueness
- On an inversion theorem for Stratonovich's signatures of multidimensional diffusion paths
- Signature-based validation of real-world economic scenarios
- Uniqueness of signature for simple curves
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