On an Inversion Theorem for Stratonovich's Signatures of Multidimensional Diffusion Paths
Probability
2014-10-28 v2
Abstract
In the present paper, we prove that with probability one, the Stratonovich signatures of a multidimensional diffusion process (possibly degenerate) over [0,1], which is the collection of all iterated Stratonovich's integrals of the diffusion process over [0,1], determine the diffusion sample paths.
Cite
@article{arxiv.1304.6985,
title = {On an Inversion Theorem for Stratonovich's Signatures of Multidimensional Diffusion Paths},
author = {Xi Geng and Zhongmin Qian},
journal= {arXiv preprint arXiv:1304.6985},
year = {2014}
}