An isomorphism between branched and geometric rough paths

Author: 

Boedihardjo, H
Chevyrev, I

Journal: 

Ann. Inst. H. Poincar\'e Probab. Statist., Volume 55, Number 2 (2019), 1131-1148

Last Updated: 

2019-05-31T00:31:26.853+01:00

DOI: 

10.1214/18-AIHP912

abstract: 

We exhibit an explicit natural isomorphism between spaces of branched and
geometric rough paths. This provides a multi-level generalisation of the
isomorphism of Lejay-Victoir (2006) as well as a canonical version of the
It\^o-Stratonovich correction formula of Hairer-Kelly (2015). Our construction
is elementary and uses the property that the Grossman-Larson algebra is
isomorphic to a tensor algebra. We apply this isomorphism to study signatures
of branched rough paths. Namely, we show that the signature of a branched rough
path is trivial if and only if the path is tree-like, and construct a
non-commutative Fourier transform for probability measures on signatures of
branched rough paths. We use the latter to provide sufficient conditions for a
random signature to be determined by its expected value, thus giving an answer
to the uniqueness moment problem for branched rough paths.

Symplectic id: 

844238

Download URL: 

Submitted to ORA: 

Submitted

Publication Type: 

Journal Article