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arXiv · 2606.09121

Truncated Signature Information for Mixed Fractional Brownian Paths

Chunhao Cai
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Abstract

We study finite expected-signature information for mixed-fBm paths with Hurst indices above $1/4$. Up to level three, the only parameter-dependent expected features are the variance transform $q_\theta$ and the time-ordered transform $R_\theta$. We prove the scale tradeoff $2K$ level-two scales versus $K$ selected level-two/three scales, together with separation and local inverse bounds.

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Chunhao Cai. 2026-06-08. Truncated Signature Information for Mixed Fractional Brownian Paths. https://arxiv.org/abs/2606.09121

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