Uniqueness for the signature of a path of bounded variation and the reduced path group

DOI10.4007/ANNALS.2010.171.109zbMATH Open1276.58012arXivmath/0507536OpenAlexW3106415951WikidataQ56689341 ScholiaQ56689341MaRDI QIDQ974036FDOQ974036

Terence J. Lyons, Ben M. Hambly

Publication date: 27 May 2010

Published in: Annals of Mathematics. Second Series (Search for Journal in Brave)

Abstract: We introduce the notions of tree-like path and tree-like equivalence between paths and prove that the latter is an equivalence relation for paths of finite length. We show that the equivalence classes form a group with some similarity to a free group, and that in each class there is one special tree reduced path. The set of these paths is the Reduced Path Group. It is a continuous analogue to the group of reduced words. The signature of the path is a power series whose coefficients are definite iterated integrals of the path. We identify the paths with trivial signature as the tree-like paths, and prove that two paths are in tree-like equivalence if and only if they have the same signature. In this way, we extend Chen's theorems on the uniqueness of the sequence of iterated integrals associated with a piecewise regular path to finite length paths and identify the appropriate extended meaning for reparameterisation in the general setting. It is suggestive to think of this result as a non-commutative analogue of the result that integrable functions on the circle are determined, up to Lebesgue null sets, by their Fourier coefficients. As a second theme we give quantitative versions of Chen's theorem in the case of lattice paths and paths with continuous derivative, and as a corollary derive results on the triviality of exponential products in the tensor algebra.

Full work available at URL: https://arxiv.org/abs/math/0507536

zbMATH Keywords

classifying spaceChen seriesMagnus seriesreduced path groupsignaturebounded variationCartan developmentnonlinear exponentialpaths of finite length

Mathematics Subject Classification ID

Diffusion processes and stochastic analysis on manifolds (58J65) Sample path properties (60G17) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Integration of Paths--A Faithful Representation of Paths by Noncommutative Formal Power Series
• System Control and Rough Paths
• Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004.
• Smoothness of Itô maps and diffusion processes on path spaces (I)
• Stochastic area for Brownian motion on the Sierpiński gasket
• On the radius of convergence of the logarithmic signature
• Dirichlet Problems on Riemann Surfaces and Conformal Mappings
• Brownian excursions, trees and measure-valued branching processes
• Convergence of reduced empirical and quantile processes with application to functions of order statistics in the non-I.I.D. case

Cited In (57)

• On the Wiener chaos expansion of the signature of a Gaussian process
• Non-degeneracy of stochastic line integrals
• Convex hulls of curves: volumes and signatures
• Feature engineering with regularity structures
• Sig‐Wasserstein GANs for conditional time series generation
• Rectifiable paths with polynomial log-signature are straight lines
• A topological approach to mapping space signatures
• Signature asymptotics, empirical processes, and optimal transport
• Signatures, Lipschitz-Free Spaces, and Paths of Persistence Diagrams
• A new definition of rough paths on manifolds
• The signature of a rough path: uniqueness
• Short Communication: Projection of Functionals and Fast Pricing of Exotic Options
• Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures
• Time-warping invariants of multidimensional time series
• Embedding and learning with signatures
• Invariants of multidimensional time series based on their iterated-integral signature
• Stratonovich's signatures of Brownian motion determine Brownian sample paths
• Yet another introduction to rough paths
• Uniqueness of signature for simple curves
• Topologies on unparameterised path space
• A quasi-sure non-degeneracy property for the Brownian rough path
• The uniqueness of signature problem in the non-Markov setting
• Functional linear regression with truncated signatures
• New directions in rough path theory. Abstracts from the workshop held December 6--12, 2020 (online meeting)
• Expected signature of stopped Brownian motion on \(d\)-dimensional \(C^{2, \alpha }\)-domains has finite radius of convergence everywhere: \(2 \leq d \leq 8\)
• Learning with Signatures
• Physical Brownian motion in a magnetic field as a rough path
• Van Kampen Colimits and Path Uniqueness
• Optimal stopping with signatures
• A structure theorem for streamed information
• Growth of Lévy trees
• Hereditary tree growth and Lévy forests
• \(\mathrm{SL}_2 (\mathbb{R})\)-developments and signature asymptotics for planar paths with bounded variation
• Iterated Integrals and Population Time Series Analysis
• Discretely sampled signals and the rough Hoff process
• On discrete loop signatures and Markov loops topology
• On the Number of Turns in Reduced Random Lattice Paths
• Space of signatures as inverse limits of Carnot groups
• Random walks and Lévy processes as rough paths
• Simple piecewise geodesic interpolation of simple and Jordan curves with applications
• Thin homotopy and the holonomy approach to gauge theories
• Tropical Time Series, Iterated-Sums Signatures, and Quasisymmetric Functions
• Linking curves, sutured manifolds and the Ambrose conjecture for generic 3-manifolds
• Developing the Path Signature Methodology and Its Application to Landmark- Based Human Action Recognition
• Kernels for sequentially ordered data
• VARIETIES OF SIGNATURE TENSORS
• Tail asymptotics of the Brownian signature
• Path developments and tail asymptotics of signature for pure rough paths
• Hyperbolic development and inversion of signature
• An isomorphism between branched and geometric rough paths
• A non-vanishing property for the signature of a path
• Excursion theory for Brownian motion indexed by the Brownian tree
• Super-multiplicativity and a lower bound for the decay of the signature of a path of finite length
• Signature cumulants, ordered partitions, and independence of stochastic processes
• Signatures of paths transformed by polynomial maps
• A signed measure on rough paths associated to a PDE of high order: results and conjectures
• Weighted signature kernels

This page was built for publication: Uniqueness for the signature of a path of bounded variation and the reduced path group

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q974036)