Illinois Journal of Mathematics

On the radius of convergence of the logarithmic signature

Terry J. Lyons and Nadia Sidorova

Full-text: Open access

Abstract

It has recently been proved that a continuous path of bounded variation in $\R^d$ can be characterised in terms of its transform into a sequence of iterated integrals called the signature of the path. The signature takes its values in an algebra and always has a logarithm. In this paper we study the radius of convergence of the series corresponding to this logarithmic signature for the path. This convergence can be interpreted in control theory (in particular, the series can be used for effective computation of time invariant vector fields whose exponentiation yields the same diffeomorphism as a time inhomogeneous flow) and can provide efficient numerical approximations to solutions of SDEs. We give a simple lower bound for the radius of convergence of this series in terms of the length of the path. However, the main result of the paper is that the radius of convergence of the full log signature is finite for two wide classes of paths (and we conjecture that this holds for all paths different from straight lines).

Article information

Source
Illinois J. Math., Volume 50, Number 1-4 (2006), 763-790.

Dates
First available in Project Euclid: 12 November 2009

Permanent link to this document
https://projecteuclid.org/euclid.ijm/1258059491

Digital Object Identifier
doi:10.1215/ijm/1258059491

Mathematical Reviews number (MathSciNet)
MR2247845

Zentralblatt MATH identifier
1103.60060

Subjects
Primary: 60H10: Stochastic ordinary differential equations [See also 34F05]
Secondary: 34A34: Nonlinear equations and systems, general 34F05: Equations and systems with randomness [See also 34K50, 60H10, 93E03] 93C35: Multivariable systems

Citation

Lyons, Terry J.; Sidorova, Nadia. On the radius of convergence of the logarithmic signature. Illinois J. Math. 50 (2006), no. 1-4, 763--790. doi:10.1215/ijm/1258059491. https://projecteuclid.org/euclid.ijm/1258059491


Export citation