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

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 boundedne...

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Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1214/14-aop949

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Institution:
University of Oxford
Division:
MPLS Division
Department:
Mathematical Institute
Oxford college:
St Anne's College
Role:
Author
ORCID:
0000-0002-9972-2809
Publisher:
Institute of Mathematical Statistics Publisher's website
Journal:
Annals of Probability Journal website
Volume:
43
Issue:
5
Pages:
2729-2762
Publication date:
2015-09-09
DOI:
ISSN:
0091-1798
Source identifiers:
502232
Language:
English
Keywords:
Pubs id:
pubs:502232
UUID:
uuid:41f097ae-24a6-4d99-9154-cba2c6922363
Local pid:
pubs:502232
Deposit date:
2019-08-27

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