English

Reconstruction for the Signature of a Rough Path

Classical Analysis and ODEs 2017-05-04 v2 Probability

Abstract

Recently it was proved that the group of rough paths modulo tree-like equivalence is isomorphic to the corresponding signature group through the signature map S (a generalized notion of taking iterated path integrals). However, the proof of this uniqueness result does not contain any information on how to "see" the trajectory of a (tree-reduced) rough path from its signature, and a constructive understanding on the uniqueness result (in particular on the inverse of S) has become an interesting and important question. The aim of the present paper is to reconstruct a rough path from its signature in an explicit and universal way.

Keywords

Cite

@article{arxiv.1508.06890,
  title  = {Reconstruction for the Signature of a Rough Path},
  author = {Xi Geng},
  journal= {arXiv preprint arXiv:1508.06890},
  year   = {2017}
}

Comments

39 pages, 6 figures