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]...

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Bibliographic Details
Main Authors: Cass, T, Rossi Ferrucci, E
Format: Journal article
Language:English
Published: Springer Nature 2024