English

Stratonovich's Signatures of Brownian Motion Determine Brownian Sample Paths

Probability 2011-02-18 v1

Abstract

The signature of Brownian motion in Rd\mathbb{R}^{d} over a running time interval [0,T][0,T] is the collection of all iterated Stratonovich path integrals along the Brownian motion. We show that, in dimension d2d\geq 2, almost all Brownian motion sample paths (running up to time TT) are determined by its signature over [0,T][0,T]

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}
}