Signature inversion for monotone paths
Probability
2016-12-15 v1
Abstract
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 signature. We show that these weights on lattice paths satisfy the large deviations principle. In particular, this implies that the probability of picking up a "wrong" path is exponentially small in N. The argument relies on a probabilistic interpretation of the signature for monotone paths.
Keywords
Cite
@article{arxiv.1612.04454,
title = {Signature inversion for monotone paths},
author = {Jiawei Chang and Nick Duffield and Hao Ni and Weijun Xu},
journal= {arXiv preprint arXiv:1612.04454},
year = {2016}
}