Ni, H;
Xu, W;
Chang, J;
Duffield, N;
(2017)
Signature inversion for monotone paths.
Electronic Communications in Probability
, 42
, Article 11. 10.1214/17-ECP70.
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Abstract
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.
| Type: | Article |
|---|---|
| Title: | Signature inversion for monotone paths |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1214/17-ECP70 |
| Publisher version: | http://dx.doi.org/10.1214/17-ECP70 |
| Language: | English |
| Additional information: | This is an Open Access article published under a Creative Commons Attribution 4.0 International License (https://creativecommons.org/licenses/by/4.0/). |
| Keywords: | Signature, inversion, monotone paths |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Mathematics |
| URI: | https://discovery-pp.ucl.ac.uk/id/eprint/1569460 |
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