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| Main Authors: | , |
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| Formato: | Preprint |
| Publicado em: |
2020
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| Assuntos: | |
| Acesso em linha: | https://arxiv.org/abs/2011.07917 |
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Sumário:
- A fundamental question in rough path theory is whether the expected signature of a geometric rough path completely determines the law of signature. One sufficient condition is that the expected signature has infinite radius of convergence, which is satisfied by various stochastic processes on a fixed time interval, including the Brownian motion. In contrast, for the Brownian motion stopped upon the first exit time from a bounded domain $Ω$, it is only known that the radius of convergence for the expected signature on sufficiently regular $Ω$ is strictly positive everywhere, and that the radius of convergence is finite at some point when $Ω$ is the $2$-dimensional unit disc ([1]). In this paper, we prove that on any bounded $C^{2,α}$-domain $Ω\subset \mathbb{R}^d$ with $2\leq d \leq 8$, the expected signature of the stopped Brownian motion has finite radius of convergence everywhere. A key ingredient of our proof is the introduction of a "domain-averaging hyperbolic development" (see Definition 4.1), which allows us to symmetrize the PDE system for the hyperbolic development of expected signature by averaging over rotated domains.