The uniqueness of signature problem in the non-Markov setting

  • H. Boedihardjoa, X. Gengb
  • Published 2015

Abstract

We establish a general framework for a class of multidimensional stochastic processes over [0, 1] under which with probability one, the signature (the collection of iterated path integrals in the sense of rough paths) is well-defined and determines the sample paths of the process up to reparametrization. In particular, by using the Malliavin calculus we… (More)

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