2 papers
math.PR2026
The Singular Values of Lévy's Area Matrix
Danilo Jr Dela Cruz, Harald Oberhauser
The matrix of Lévy's areas of -dimensional Brownian motion is a fundamental object in stochastic analysis. In this article, we study the singular values of this sk…
math.PR2026
Orthogonal polynomials on path-space
Ilya Chevyrev, Emilio Ferrucci, Darrick Lee +3
We consider the orthogonalisation of the signature of a stochastic process as the analogue of orthogonal polynomials on path-space. Under an infinite radius of convergence assumpti…