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20062023
most citedSmoothness of the density for solutions to Gaussian rough differential equations

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math.PR2022

On the Wiener Chaos Expansion of the Signature of a Gaussian Process

Emilio Ferrucci, Thomas Cass

We compute the Wiener chaos decomposition of the signature for a class of Gaussian processes, which contains fractional Brownian motion (fBm) with Hurst parameter H in (1/4, 1). At…