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The uniqueness of signature problem in the non-Markov setting

Boedihardjo, H. and Geng, X. (2015) The uniqueness of signature problem in the non-Markov setting. Stochastic Processes and their Applications, 125 (12). pp. 4674-4701. ISSN 0304-4149

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To link to this item DOI: 10.1016/j.spa.2015.07.012

Abstract/Summary

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.

Item Type:Article
Refereed:Yes
Divisions:Faculty of Science > School of Mathematical, Physical and Computational Sciences > Department of Mathematics and Statistics
ID Code:42383
Publisher:Elsevier

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