Characteristic functions of measures on geometric rough paths

Abstract

We define a characteristic function for probability measures on the signatures of geometric rough paths. We determine sufficient conditions under which a random variable is uniquely determined by its expected signature, thus partially solving the analogue of the moment problem. We furthermore study analyticity properties of the characteristic function and prove a method of moments for weak convergence of random variables. We apply our results to signature arising from Lévy, Gaussian and Markovian rough paths.

29 pages, published version, updated refs

References in corpus (3)

• Integrability and tail estimates for Gaussian rough differential equations
• Rough paths, Signatures and the modelling of functions on streams
• The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory

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