The expected signature of Brownian motion stopped on the boundary of a circle has finite radius of convergence
Work
Year: 2020
Type: article
Abstract: The expected signature is an analogue of the Laplace transform for probability measures on rough paths. A key question in the area has been to identify a general condition to ensure that the expected ... more
Institutions University of Warwick, Universität Greifswald, Laboratoire de Recherche en Informatique de Paris 6, Centre National de la Recherche Scientifique, Sorbonne Université +1 more
Cites: 16
Cited by: 1
Related to: 10
FWCI: 1.088
Citation percentile (by year/subfield): 82.45
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Reduced inequalities
Open Access status: hybrid
APC paid (est): $3,710
Funders Agence Nationale de la Recherche, Engineering and Physical Sciences Research Council, Engineering and Physical Sciences Research Council
Grant IDS ANR‐14‐CE25‐0018‐01, EP/N510129/1, EP/S026347/1