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Mathematics  2011 

Stratonovich's Signatures of Brownian Motion Determine Brownian Sample Paths

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Abstract:

The signature of Brownian motion in $\mathbb{R}^{d}$ over a running time interval $[0,T]$ is the collection of all iterated Stratonovich path integrals along the Brownian motion. We show that, in dimension $d\geq 2$, almost all Brownian motion sample paths (running up to time $T$) are determined by its signature over $[0,T]$

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