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The expected signature of Brownian motion stopped on the boundary of a circle has finite radius of convergence

  • Abstract The expected signature is an analogue of the Laplace transform for probability measures on rough paths. A key question in the area has been to identify a general condition to ensure that the expected signature uniquely determines the measures. A sufficient condition has recently been given by Chevyrev and Lyons and requires a strong upper bound on the expected signature. While the upper bound was verified for many well‐known processes up to a deterministic time, it was not known whether the required bound holds for random time. In fact, even the simplest case of Brownian motion up to the exit time of a planar disc was open. For this particular case we answer this question using a suitable hyperbolic projection of the expected signature. The projection satisfies a three‐dimensional system of linear PDEs, which (surprisingly) can be solved explicitly, and which allows us to show that the upper bound on the expected signature is not satisfied.

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Author: Horatio Boedihardjo, Joscha Diehl, Marc Mezzarobba, Hao Ni
Parent Title (English):Bulletin of the London Mathematical Society
Document Type:Article
Date of first Publication:2021/02/01
Release Date:2021/02/16
Tag:33C10; 60B15; 60H05 (primary)
GND Keyword:-
First Page:285
Last Page:299
Faculties:Mathematisch-Naturwissenschaftliche Fakultät / Institut für Mathematik und Informatik
Licence (German):License LogoCreative Commons - Namensnennung