Characteristic functions of measures on geometric rough paths

Characteristic functions of measures on geometric rough paths

We define a characteristic function for probability measures on the signatures of geometric rough paths. We determine sufficient conditions under which a random variable is uniquely determined by its expected signature, thus partially solving the analogue of the moment problem. We furthermore study...

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Bibliografiske detaljer
Main Authors:	Chevyrev, I, Lyons, T
Format:	Journal article
Udgivet:	Institute of Mathematical Statistics 2016

Lignende værker

An isomorphism between branched and geometric rough paths
af: Boedihardjo, H, et al.
Udgivet: (2019)

Random walks and Lévy processes as rough paths
af: Chevyrev, I
Udgivet: (2017)

Canonical RDEs and general semimartingales as rough paths
af: Chevyrev, I, et al.
Udgivet: (2018)

Characteristic functions of path signatures and applications
af: Chevyrev, I
Udgivet: (2015)

A rough path perspective on renormalization
af: Bruned, Y, et al.
Udgivet: (2019)

A support and density theorem for Markovian rough paths
af: Chevyrev, IA, et al.
Udgivet: (2018)

Multiscale systems, homogenization, and rough paths
af: Chevyrev, I, et al.
Udgivet: (2019)

Rough paths, signatures and the modelling of functions on streams
af: Lyons, T
Udgivet: (2014)

Rough Paths on Manifolds
af: Cass, T, et al.
Udgivet: (2011)

An extension theorem to rough paths
af: Lyons, T, et al.
Udgivet: (2007)

System control and rough paths /
af: 386464 Lyons, Terry, et al.
Udgivet: (2002)

Optimal execution with rough path signatures
af: Kalsi, J, et al.
Udgivet: (2020)

A uniform estimate for rough paths
af: Lyons, T, et al.
Udgivet: (2011)

Flow equations on spaces of rough paths
af: Lyons, T, et al.
Udgivet: (1997)

Finite dimensional characteristic functions of Brownian rough path
af: Geng, X, et al.
Udgivet: (2017)

A new definition of rough paths on manifolds
af: Boutaib, Y, et al.
Udgivet: (2015)

Smooth rough paths and applications to Fourier analysis
af: Hara, K, et al.
Udgivet: (2007)

A new definition of rough paths on manifolds
af: Boutaib, Y, et al.
Udgivet: (2022)

The signature of a rough path: Uniqueness
af: Boedihardjo, H, et al.
Udgivet: (2016)

A signed measure on rough paths associated to a PDE of high order: results and conjectures
af: Lyons, T, et al.
Udgivet: (2009)

Rough Paths based Numerical Algorithms in Computational Finance
af: Gyurko, L, et al.
Udgivet: (2010)

Rough Paths based Numerical Algorithms in Computational Finance.
af: Gyurkó, L, et al.
Udgivet: (2008)

New directions in the applications of rough path theory
af: Fermanian, A, et al.
Udgivet: (2023)

Rough Paths above Weierstrass Functions
af: Cellarosi, Francesco, et al.
Udgivet: (2024-11-01)

Integration of time-varying cocyclic one-forms against rough paths
af: Lyons, T, et al.
Udgivet: (2016)

Persistence paths and signature features in topological data analysis
af: Chevyrev, I, et al.
Udgivet: (2018)

Persistence paths and signature features in topological data analysis
af: Chevyrev, I, et al.
Udgivet: (2018)

Persistence paths and signature features in topological data analysis
af: Chevyrev, I, et al.
Udgivet: (2018)

Physical Brownian motion in a magnetic field as a rough path
af: Friz, P, et al.
Udgivet: (2015)

Rough paths and SPDE*
af: Bailleul Ismael, et al.
Udgivet: (2023-01-01)

Yang–Mills measure on the two-dimensional torus as a random distribution
af: Chevyrev, I
Udgivet: (2019)

Lévy area analysis and parameter estimation for fOU processes via non-geometric rough path theory
af: Qian, Z, et al.
Udgivet: (2024)

Numerical method for model-free pricing of exotic derivatives in discrete time using rough path signatures
af: Lyons, T, et al.
Udgivet: (2020)

Rough Neutrosophic Multisets Geometric Aggregation Operator with Entropy Weight Combined Roughness Dice Similarity Measure and Its Application
af: Alias Suriana, et al.
Udgivet: (2024-01-01)

The partial sum process of orthogonal expansion as geometric rough process with Fourier series as an example---an improvement of Menshov-Rademacher theorem
af: Yang, D, et al.
Udgivet: (2011)

Lipschitz geometry and rough paths
af: Boutaib, Y
Udgivet: (2016)

Roughness properties of paths and signals
af: Das, P
Udgivet: (2022)

On (p,q)-rough paths
af: Lejay, A, et al.
Udgivet: (2006)

Rough paths, kernels, differential equations and an algebra of functions on streams
af: Salvi, C
Udgivet: (2021)

Effect of geometric base roughness on size segregation
af: Jing L., et al.
Udgivet: (2017-01-01)