The determinant-scaling conjecture for Stratonovich signatures of linear Brownian motions

Let (Bt)t0=(Bt1,,Btd)t0(B_t)_{t\geq 0} = (B_t^1, \dots, B_t^d)_{t\geq 0} be a dd-dimensional Brownian motion and let VV be an invertible d×dd\times d matrix. For X=VBX=VB, write Ls,tX,StratL^{\mathbb{X},\operatorname{Strat}}_{s,t} for the relevant Stratonovich signature tail quantity. Determinant-scaling conjecture. One has

Ls,tX,Strat=detVκd(ts),L^{\mathbb{X},\operatorname{Strat}}_{s,t}=|\det V|\kappa_d(t-s),

where κd\kappa_d depends only on the dimension dd and the choice of tensor norms. The conjecture is motivated by simulations for two-dimensional Brownian motion with differently scaled coordinates; proving sharp lower bounds and extending the result beyond this setting remain open problems.

Sources & referencesView supporting material

Primary source

Martin Albert Gbúr, “Tail Asymptotics of the Signature of various stochastic processes and its connection to the Quadratic Variation”, arXiv:2311.13071 (2023).

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