Translator Disclaimer
2017 Signature inversion for monotone paths
Jiawei Chang, Nick Duffield, Hao Ni, Weijun Xu
Electron. Commun. Probab. 22: 1-11 (2017). DOI: 10.1214/17-ECP70

Abstract

The aim of this article is to provide a simple sampling procedure to reconstruct any monotone path from its signature. For every $N$, we sample a lattice path of $N$ steps with weights given by the coefficient of the corresponding word in the signature. We show that these weights on lattice paths satisfy the large deviations principle. In particular, this implies that the probability of picking up a “wrong” path is exponentially small in $N$. The argument relies on a probabilistic interpretation of the signature for monotone paths.

Citation

Download Citation

Jiawei Chang. Nick Duffield. Hao Ni. Weijun Xu. "Signature inversion for monotone paths." Electron. Commun. Probab. 22 1 - 11, 2017. https://doi.org/10.1214/17-ECP70

Information

Received: 8 February 2017; Accepted: 23 June 2017; Published: 2017
First available in Project Euclid: 15 August 2017

zbMATH: 1378.60056
MathSciNet: MR3693768
Digital Object Identifier: 10.1214/17-ECP70

Subjects:
Primary: 60

JOURNAL ARTICLE
11 PAGES


SHARE
Back to Top