On the Wiener chaos expansion of the signature of a Gaussian process
We compute the Wiener chaos decomposition of the signature for a class of Gaussian processes, which contains fractional Brownian motion (fBm) with Hurst parameter H in (1/4, 1). At level 0, our result yields an expression for the expected signature of such processes, which determine their law [CL16]...
Main Authors: | , |
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Format: | Journal article |
Language: | English |
Published: |
Springer Nature
2024
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