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arxiv: 1102.3601 · v1 · pith:ZSAI6WGSnew · submitted 2011-02-17 · 🧮 math.PR

Stratonovich's Signatures of Brownian Motion Determine Brownian Sample Paths

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

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