Inverting the signature of a path

Thesis

This thesis consists of two parts. The first part (Chapters 2-4) focuses on the problem of inverting the signature of a path of bounded variation, and we present three results here. First, we give an explicit inversion formula for any axis path in terms of its signature. Second, we show that for relatively smooth paths, the derivative at the end point can be approximated arbitrarily closely by its signature sequence, and we provide explicit error estimates. As an application, we give an effective inversion procedure for piecewise linear paths. Finally, we prove a uniform estimate for the signatures of paths of bounded variations, and obtain a reconstruction theorem via that uniform estimate. Although this general reconstruction theorem is not computationally efficient, the techniques involved in deriving the uniform estimate are useful in other situations, and we also give an application in the case of expected signatures for Brownian motion.

The second part (Chapter 5) deals with rough paths. After introducing proper backgrounds, we extend the uniform estimate above to the context of rough paths, and show how it can lead to simple proofs of distance bounds for Gaussian iterated integrals.

Authors: Xu, W

• Publication date: 2013
• Type of award: DPhil
• Level of award: Doctoral
• Awarding institution: University of Oxford
• Language: English
• Keywords: inversion; path; signature
• Subjects: Probability theory and stochastic processes; Mathematics