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On an Inversion Theorem for Stratonovich's Signatures of Multidimensional Diffusion Paths
- Publication Year :
- 2013
-
Abstract
- In the present paper, we prove that with probability one, the Stratonovich signatures of a multidimensional diffusion process (possibly degenerate) over [0,1], which is the collection of all iterated Stratonovich's integrals of the diffusion process over [0,1], determine the diffusion sample paths.
- Subjects :
- Mathematics - Probability
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.1304.6985
- Document Type :
- Working Paper