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

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Let (Bt)t≥0=(Bt1,…,Btd)t≥0(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,Strat⁡L^{\mathbb{X},\operatorname{Strat}}_{s,t} for the relevant Stratonovich signature tail quantity. Determinant-scaling conjecture. One has

Ls,tX,Strat⁡=∣det⁡V∣κd(t−s),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.

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).

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