The expected signature of a stochastic process
The signature of the path provides a top down description of a path in terms of its eects as a control. It is a group-like element in the tensor algebra and is an essential object in rough path theory. When the path is random, the linear independence of the signatures of different paths leads one to...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
2012
|
| Subjects: |