Expected signature of stopped Brownian motion on \(d\)-dimensional \(C^{2, \alpha }\)-domains has finite radius of convergence everywhere: \(2 \leq d \leq 8\)
From MaRDI portal
Publication:2123100
DOI10.1016/j.jfa.2022.109447zbMath1505.60092arXiv2011.07917OpenAlexW4221055442MaRDI QIDQ2123100
Publication date: 8 April 2022
Published in: Journal of Functional Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2011.07917
Partial differential inequalities and systems of partial differential inequalities (35R45) Rough paths (60L20)
Related Items (1)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Characteristic functions of measures on geometric rough paths
- Hyperbolic development and inversion of signature
- Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004.
- Expected signature of Brownian motion up to the first exit time from a bounded domain
- Uniqueness for the signature of a path of bounded variation and the reduced path group
- Elliptic partial differential equations of second order
- NIST digital library of mathematical functions
- Stochastic analysis, rough path analysis and fractional Brownian motions.
- On the signature and cubature of the fractional Brownian motion for \(H > \frac{1}{2}\)
- Approximations of the Brownian rough path with applications to stochastic analysis
- A note on the notion of geometric rough paths
- Cubature on Wiener space
- On the Derivatives of Harmonic Functions on the Boundary
- The expected signature of Brownian motion stopped on the boundary of a circle has finite radius of convergence
This page was built for publication: Expected signature of stopped Brownian motion on \(d\)-dimensional \(C^{2, \alpha }\)-domains has finite radius of convergence everywhere: \(2 \leq d \leq 8\)
