Stratonovich's Signatures of Brownian Motion Determine Brownian Sample Paths

preprint2011arXivOpen access

Abstract

The signature of Brownian motion in Rd\mathbb{R}^{d} over a running time interval [0,T][0,T] is the collection of all iterated Stratonovich path integrals along the Brownian motion. We show that, in dimension d≥2d\geq 2, almost all Brownian motion sample paths (running up to time TT) are determined by its signature over [0,T][0,T]

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