Pure rough path signature-tail asymptotics conjecture

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Let (V,∥⋅∥)(V,\|\cdot\|) be a finite-dimensional Banach space, and let the tensor products be equipped with given reasonable tensor algebra norms. Let ll be a Lie polynomial of degree mm, and write πn\pi_n for projection to V⊗nV^{\otimes n}. For a pure mm-rough path Xt=exp⁡(tl)∈G(m)(V){\bf X}_t=\exp(tl)\in G^{(m)}(V), the signature tail asymptotics Lm(X)L_m({\bf X}) is defined using the degree-nn signature components; in the algebraic formulation this quantity is

lim sup⁡n→∞((nm)!∥πn(exp⁡(l))∥)mn.\limsup_{n\rightarrow\infty}\left(\left(\frac{n}{m}\right)!\|\pi_n(\exp(l))\|\right)^{\frac{m}{n}}.

Pure rough path signature-tail asymptotics conjecture. For every pure mm-rough path, the tail asymptotics equals its local mm-variation, namely

Lm(X)=∥πm(l)∥.L_m({\bf X})=\|\pi_m(l)\|.

This extends the bounded-variation formula and is consistent with the Brownian-motion case. The result is known for m=1m=1, and for V=R2V=\mathbb{R}^2 with the l1l^1-norm it is established for m=2,3m=2,3 and some cases in degrees 4,54,5; the general statement remains open.

References

Primary source

Horatio Boedihardjo, Xi Geng and Nikolaos P. Souris, “Path Developments and Tail Asymptotics of Signature for Pure Rough Paths”, arXiv:1811.12170 (2019).

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