Stratonovich's Signatures of Brownian Motion Determine Brownian Sample Paths
Probability
2011-02-18 v1
Abstract
The signature of Brownian motion in over a running time interval is the collection of all iterated Stratonovich path integrals along the Brownian motion. We show that, in dimension , almost all Brownian motion sample paths (running up to time ) are determined by its signature over
Keywords
Cite
@article{arxiv.1102.3601,
title = {Stratonovich's Signatures of Brownian Motion Determine Brownian Sample Paths},
author = {Yves LeJan and Zhongmin Qian},
journal= {arXiv preprint arXiv:1102.3601},
year = {2011}
}