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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Sonraí bibleagrafaíochta
Príomhchruthaitheoirí:	Chevyrev, I, Lyons, T
Formáid:	Journal article
Foilsithe / Cruthaithe:	Institute of Mathematical Statistics 2016

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