Density of the signature process of fBm
Probability
2019-04-23 v1
Abstract
We study the density of the signature of fractional Brownian motions with parameter . In particular, we prove existence, smoothness, global Gaussian upper bounds and Varadhan's type asymptotics for this density. A key result is that the estimates on the density we obtain are controlled by the Carnot-Carath\'eodory distance of the group.
Keywords
Cite
@article{arxiv.1904.09384,
title = {Density of the signature process of fBm},
author = {Fabrice Baudoin and Qi Feng and Cheng Ouyang},
journal= {arXiv preprint arXiv:1904.09384},
year = {2019}
}
Comments
28 pages