Showing 2024 · math.PRShow all
2 papers · 2 filters
math.PR2024
Restricted Path Characteristic Function Determines the Law of Stochastic Processes
Siran Li, Zijiu Lyu, Hao Ni +1
A central question in rough path theory is characterising the law of stochastic processes on path spaces. It is established in [I. Chevyrev & T. Lyons, Characteristic functions of…
math.PR2024
A PDE approach for solving the characteristic function of the generalised signature process
Terry Lyons, Hao Ni, Jiajie Tao
The signature of a path, as a fundamental object in Rough path theory, serves as a generating function for non-commutative monomials on path space. It transforms the path into a gr…