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arXiv · 1304.6985

On an Inversion Theorem for Stratonovich's Signatures of Multidimensional Diffusion Paths

Xi Geng·Zhongmin Qian
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Abstract

In the present paper, we prove that with probability one, the Stratonovich signatures of a multidimensional diffusion process (possibly degenerate) over [0,1], which is the collection of all iterated Stratonovich's integrals of the diffusion process over [0,1], determine the diffusion sample paths.

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Xi Geng, Zhongmin Qian. 2013-04-25. On an Inversion Theorem for Stratonovich's Signatures of Multidimensional Diffusion Paths. https://arxiv.org/abs/1304.6985

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