A Set of Characteristic Functions on the Space of Signatures

Stochastic Analysis Seminar Series

Abstract: The expected signature is often viewed as a direct analogue of the Laplace transform, and as such it has been asked whether, under certain conditions, it may determine the law of a random signature. In this talk we first introduce a meaningful topology on the space of (geometric) rough paths which allows us to study it as a well-defined probability space. With the help of compact symplectic Lie groups, we then define a set of characteristic functions and show that two random variables in this space are equal in law if and only if they agree on each characteristic function. We finally show that under very general boundedness conditions, the value of each characteristic function is completely determined by the expected signature, giving an affirmative answer to the aforementioned question in many cases. In particular, we demonstrate that the Stratonovich signature is completely determined in law by its expected signature, and show how a similar technique can be used to demonstrate convergence in law of random signatures.

 

 Background material: http://arxiv.org/abs/1307.3580

Location:
Speaker(s):

ILYA CHEVYREV

Date:
Monday, November 11, 2013 - 15:45
to 16:45