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The expected signature of a stochastic process

Abstract:

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 expect, and it has been proved in simple cases, that the expected signature would capture the complete law of this random variable. It becomes of great interest to be able to compute examples of e...

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Institution:
University of Oxford
Oxford college:
Lady Margaret Hall
Department:
Mathematical,Physical & Life Sciences Division - Mathematical Institute
Role:
Author

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Role:
Supervisor
Publication date:
2012
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
Oxford University, UK
URN:
uuid:e0b9e045-4c09-4cb7-ace9-46c4984f16f6
Local pid:
ora:6794

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