Expected signature of Brownian motion up to the first exit time from a bounded domain

DOI10.1214/14-AOP949zbMATH Open1350.60086arXiv1101.5902MaRDI QIDQ888541FDOQ888541

Authors: Hao Ni, Terence J. Lyons 

Publication date: 30 October 2015

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: The signature of a path provides a top down description of the path in terms of its effects as a control [Differential Equations Driven by Rough Paths (2007) Springer]. The signature transforms a path into a group-like element in the tensor algebra and is an essential object in rough path theory. The expected signature of a stochastic process plays a similar role to that played by the characteristic function of a random variable. In [Chevyrev (2013)], it is proved that under certain boundedness conditions, the expected value of a random signature already determines the law of this random signature. It becomes of great interest to be able to compute examples of expected signatures and obtain the upper bounds for the decay rates of expected signatures. For instance, the computation for Brownian motion on $[0,1]$ leads to the ``cubature on Wiener space methodology [Lyons and Victoir, Proc. R. Soc. Lond. Ser. A Math. Phys. Eng. Sci. 460 (2004) 169-198]. In this paper we fix a bounded domain $Gamma$ in a Euclidean space $E$ and study the expected signature of a Brownian path starting at $zinGamma$ and stopped at the first exit time from $Gamma$. We denote this tensor series valued function by $Ph{i}_{Gamma}(z)$ and focus on the case $E=mathbb{R}^d$. We show that $Ph{i}_{Gamma}(z)$ satisfies an elliptic PDE system and a boundary condition. The equations determining $Ph{i}_{Gamma}$ can be recursively solved; by an iterative application of Sobolev estimates we are able, under certain smoothness and boundedness condition of the domain $Gamma$, to prove geometric bounds for the terms in $Ph{i}_{Gamma}(z)$. However, there is still a gap and we have not shown that $Ph{i}_{Gamma}(z)$ determines the law of the signature of this stopped Brownian motion even if $Gamma$ is a unit ball.

Full work available at URL: https://arxiv.org/abs/1101.5902

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zbMATH Keywords

cubatureBrownian motiondiffusionfirst-exit timerough pathexpected signature

Mathematics Subject Classification ID

Markov semigroups and applications to diffusion processes (47D07) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Diffusion processes (60J60) Brownian motion (60J65) Heat equation (35K05) Heat kernel (35K08) Second-order parabolic equations (35K10) Initial-boundary value problems for second-order parabolic systems (35K51) Stopping times; optimal stopping problems; gambling theory (60G40) Transition functions, generators and resolvents (60J35) Groups and semigroups of linear operators (47D03)

Cites Work

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Cited In (12)

• Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures
• On the Wiener chaos expansion of the signature of a Gaussian process
• Expected signature of stopped Brownian motion on \(d\)-dimensional \(C^{2, \alpha }\)-domains has finite radius of convergence everywhere: \(2 \leq d \leq 8\)
• Unified signature cumulants and generalized Magnus expansions
• The barycenter in free nilpotent Lie groups and its application to iterated-integrals signatures
• Signature-based community detection for time series
• Sig‐Wasserstein GANs for conditional time series generation
• The expected signature of Brownian motion stopped on the boundary of a circle has finite radius of convergence
• Joint calibration to SPX and VIX options with signature-based models
• Canonical RDEs and general semimartingales as rough paths
• Concentration and exact convergence rates for expected Brownian signatures
• Signature-Based Models: Theory and Calibration

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