Author
Boedihardjo, H
Geng, X
Liu, X
Qian, Z
Journal title
Potential Analysis
DOI
10.1007/s11118-018-9699-1
Issue
1
Volume
51
Last updated
2024-04-11T11:31:08.437+01:00
Page
1-21
Abstract
In the present paper, we are going to show that outside a slim set in the sense of Malliavin (or quasi-surely), the signature path (which consists of iterated path integrals in every degree) of Brownian motion is non-self-intersecting. This property relates closely to a non-degeneracy property for the Brownian rough path arising naturally from the uniqueness of signature problem in rough path theory. As an important consequence we conclude that quasi-surely, the Brownian rough path does not have any tree-like pieces and every sample path of Brownian motion is uniquely determined by its signature up to reparametrization.
Symplectic ID
835665
Favourite
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Publication type
Journal Article
Publication date
07 May 2018
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