Related papers: SL_2(R)-developments and Signature Asymptotics for…

We develop two methods to reconstruct a path of bounded variation from its signature. The first method gives a simple and explicit expression of any axis path in terms of its signature, but it does not apply directlty to more general ones.…

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…

The signature of a path \gamma is a sequence whose n-th term is the order-n iterated integrals of \gamma. It arises from solving multidimensional linear differential equations driven by \gamma. We are interested in relating the path…

Rough path theory is focused on capturing and making precise the interactions between highly oscillatory and non-linear systems. It draws on the analysis of LC Young and the geometric algebra of KT Chen. The concepts and the uniform…

We introduce the notions of tree-like path and tree-like equivalence between paths and prove that the latter is an equivalence relation for paths of finite length. We show that the equivalence classes form a group with some similarity to a…

The aim of this article is to provide a simple sampling procedure to reconstruct any monotone path from its signature. For every N, we sample a lattice path of N steps with weights given by the coefficient of the corresponding word in the…

The signature of a parametric curve is a sequence of tensors whose entries are iterated integrals. This construction is central to the theory of rough paths in stochastic analysis. It is here examined through the lens of algebraic geometry.…

The signature of a path is a sequence of tensors whose entries are iterated integrals, playing a key role in stochastic analysis and applications. The set of all signature tensors at a particular level gives rise to the universal signature…

In the context of controlled differential equations, the signature is the exponential function on paths. B. Hambly and T. Lyons proved that the signature of a bounded variation path is trivial if and only if the path is tree-like. We extend…

The signature of a path, introduced by K.T. Chen [5] in $1954$, has been extensively studied in recent years. The $2010$ paper [12] of Hambly and Lyons showed that the signature is injective on the space of continuous finite-variation paths…

The signature transform, which is defined in terms of iterated path integrals of all orders, provides a faithful representation of the group of tree-reduced geometric rough paths. While the signature coefficients are known to decay…

The signature of a path is a non-commutative power series whose coefficients are given by certain iterated integrals over the path coordinates. This series almost uniquely characterizes the path up to translation and reparameterization.…

The signature of a rectifiable path is a tensor series in the tensor algebra whose coefficients are definite iterated integrals of the path. The signature characterises the path up to a generalised form of reparametrisation. It is a…

In stochastic analysis, a standard method to study a path is to work with its signature. This is a sequence of tensors of different order that encode information of the path in a compact form. When the path varies, such signatures…

We develop a consistent method for estimating the parameters of a rich class of path-dependent SDEs, called signature SDEs, which can model general path-dependent phenomena. Path signatures are iterated integrals of a given path with the…

Rough path theory provides one with the notion of signature, a graded family of tensors which characterise, up to a negligible equivalence class, and ordered stream of vector-valued data. In the last few years, use of the signature has…

Signatures provide a succinct description of certain features of paths in a reparametrization invariant way. We propose a method for classifying shapes based on signatures, and compare it to current approaches based on the SRV transform and…

We exhibit an explicit natural isomorphism between spaces of branched and geometric rough paths. This provides a multi-level generalisation of the isomorphism of Lejay-Victoir (2006) as well as a canonical version of the It\^o-Stratonovich…

Splines are central objects for the interpolation of discrete data via piecewise smooth paths. Their iterated-integral signature is an infinite collection of tensors which characterizes paths almost uniquely. We study truncations of this…

Controlled ordinary differential equations driven by continuous bounded variation curves can be considered a continuous time analogue of recurrent neural networks for the construction of expressive features of the input curves. We ask up to…