"The Uniqueness of Signature problem"

Stochastic Analysis Seminar

 

The abstract is: This talk will assume basic functional analysis, properties of Brownian motion and tensor product. The first fundamental result in rough path theory states that, under some Holder-type conditions, a multiplicative funcational in the truncated tensor algebra can be lifted to a multiplicative functional to the full tensor algebra. It turns out that the value of the lift at time say, 1, tells you almost everything about the original functional. The proof for this fact for paths with finite total variation was provided by Hambly-Lyons. For general paths, it remains an open problem. We shall discuss recent progress in this area. This is joint work with Xi Geng, Terry Lyons, Hao Ni and Zhongmin Qian.

 

 

 

Location:
Speaker(s):

HORATIO BOEDIHARDJO

Date:
Monday, February 10, 2014 - 15:45
to 16:45