The Annals of Probability

Expected signature of Brownian motion up to the first exit time from a bounded domain

Terry Lyons and Hao Ni

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Abstract

The signature of a path provides a top down description of the path in terms of its effects as a control [Differential Equations Driven by Rough Paths (2007) Springer]. The signature transforms a path into a group-like element in the tensor algebra and is an essential object in rough path theory. The expected signature of a stochastic process plays a similar role to that played by the characteristic function of a random variable. In [Chevyrev (2013)], it is proved that under certain boundedness conditions, the expected value of a random signature already determines the law of this random signature. It becomes of great interest to be able to compute examples of expected signatures and obtain the upper bounds for the decay rates of expected signatures. For instance, the computation for Brownian motion on $[0,1]$ leads to the “cubature on Wiener space” methodology [Lyons and Victoir, Proc. R. Soc. Lond. Ser. A Math. Phys. Eng. Sci. 460 (2004) 169–198]. In this paper we fix a bounded domain $\Gamma$ in a Euclidean space $E$ and study the expected signature of a Brownian path starting at $z\in\Gamma$ and stopped at the first exit time from $\Gamma$. We denote this tensor series valued function by $\Phi_{\Gamma}(z)$ and focus on the case $E=\mathbb{R}^{d}$. We show that $\Phi_{\Gamma}(z)$ satisfies an elliptic PDE system and a boundary condition. The equations determining $\Phi_{\Gamma}$ can be recursively solved; by an iterative application of Sobolev estimates we are able, under certain smoothness and boundedness condition of the domain $\Gamma$, to prove geometric bounds for the terms in $\Phi_{\Gamma}(z)$. However, there is still a gap and we have not shown that $\Phi_{\Gamma}(z)$ determines the law of the signature of this stopped Brownian motion even if $\Gamma$ is a unit ball.

Article information

Source
Ann. Probab., Volume 43, Number 5 (2015), 2729-2762.

Dates
Received: May 2013
Revised: June 2014
First available in Project Euclid: 9 September 2015

Permanent link to this document
https://projecteuclid.org/euclid.aop/1441792297

Digital Object Identifier
doi:10.1214/14-AOP949

Mathematical Reviews number (MathSciNet)
MR3395473

Zentralblatt MATH identifier
1350.60086

Subjects
Primary: 60J60: Diffusion processes [See also 58J65] 60J65: Brownian motion [See also 58J65] 60J10: Markov chains (discrete-time Markov processes on discrete state spaces) 60J35: Transition functions, generators and resolvents [See also 47D03, 47D07] 47D03: Groups and semigroups of linear operators {For nonlinear operators, see 47H20; see also 20M20} 47D07: Markov semigroups and applications to diffusion processes {For Markov processes, see 60Jxx} 35K05: Heat equation 35K08: Heat kernel 35K10: Second-order parabolic equations 35K51: Initial-boundary value problems for second-order parabolic systems

Keywords
Expected signature rough path diffusion cubature

Citation

Lyons, Terry; Ni, Hao. Expected signature of Brownian motion up to the first exit time from a bounded domain. Ann. Probab. 43 (2015), no. 5, 2729--2762. doi:10.1214/14-AOP949. https://projecteuclid.org/euclid.aop/1441792297


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