Signature inversion for monotone paths. (English) Zbl 1378.60056

Chang, Jiawei; Duffield, Nick; Ni, Hao; Xu, Weijun

Electron. Commun. Probab. 22, Paper No. 42, 11 p. (2017).

Summary: The aim of this article is to provide a simple sampling procedure to reconstruct any monotone path from its signature. For every \(N\), we sample a lattice path of \(N\) steps with weights given by the coefficient of the corresponding word in the signature. We show that these weights on lattice paths satisfy the large deviations principle. In particular, this implies that the probability of picking up a “wrong” path is exponentially small in \(N\). The argument relies on a probabilistic interpretation of the signature for monotone paths.

MSC:

60F10	Large deviations
60B11	Probability theory on linear topological spaces

Keywords:

signature; inversion; monotone paths