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