Back to Search Start Over

On an Inversion Theorem for Stratonovich's Signatures of Multidimensional Diffusion Paths

Authors :
Geng, Xi
Qian, Zhongmin
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

Subjects :
Mathematics - Probability

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.1304.6985
Document Type :
Working Paper