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math.PR2026
Locality of rough path lifts
Ilya Chevyrev, Emilio Ferrucci
Every Hölder continuous path admits a geometric rough path lift by the Lyons--Victoir extension theorem. A natural question that emerges when lifting more than…
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…