Expected signature of Brownian motion up to the first exit time from a bounded domain
The signature of a path provides a top down description of the path in terms of its effects as a control [Differential Equations Driven by Rough Paths (2007) Springer]. The signature transforms a path into a group-like element in the tensor algebra and is an essential object in rough path theory. Th...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
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Institute of Mathematical Statistics
2015
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