The determinant-scaling conjecture for Stratonovich signatures of linear Brownian motions
Let be a -dimensional Brownian motion and let be an invertible matrix. For , write for the relevant Stratonovich signature tail quantity. Determinant-scaling conjecture. One has
where depends only on the dimension 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.
References
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).
Progress summary
Nothing recorded yet. Refresh searches the literature and the public web for attempts on this problem, and writes the first summary here.
Solutions 0
No solutions have been posted yet.