On the Wiener chaos expansion of the signature of a Gaussian process

Abstract

We compute the Wiener chaos decomposition of the signature for a class of Gaussian processes, which contains fractional Brownian motion (fBm) with Hurst parameter H∈(1/4,1)\\documentclass[12pt]{minimal} \\usepackage{amsmath} \\usepackage{wasysym} \\usepackage{amsfonts} \\usepackage{amssymb} \\usepackage{amsbsy} \\usepackage{mathrsfs} \\usepackage{upgreek} \\setlength{\\oddsidemargin}{-69pt} \\begin{document}$$H \\in (1/4,1)$$\\end{document}. At level 0, our result yields an expression for the expected signature of such processes, which determines their law (Chevyrev and Lyons in Ann Probab 44(6):4049–4082, 2016). In particular, this formula simultaneously extends both the one for 1/2<H\\documentclass[12pt]{minimal} \\usepackage{amsmath} \\usepackage{wasysym} \\usepackage{amsfonts} \\usepackage{amssymb} \\usepackage{amsbsy} \\usepackage{mathrsfs} \\usepackage{upgreek} \\setlength{\\oddsidemargin}{-69pt} \\begin{document}$$1/2 < H$$\\end{document}-fBm (Baudoin and Coutin in Stochast Process Appl 117(5):550–574, 2007) and the one for Brownian motion (H=1/2\\documentclass[12pt]{minimal} \\usepackage{amsmath} \\usepackage{wasysym} \\usepackage{amsfonts} \\usepackage{amssymb} \\usepackage{amsbsy} \\usepackage{mathrsfs} \\usepackage{upgreek} \\setlength{\\oddsidemargin}{-69pt} \\begin{document}$$H = 1/2$$\\end{document}) (Fawcett 2003), to the general case H>1/4\\documentclass[12pt]{minimal} \\usepackage{amsmath} \\usepackage{wasysym} \\usepackage{amsfonts} \\usepackage{amssymb} \\usepackage{amsbsy} \\usepackage{mathrsfs} \\usepackage{upgreek} \\setlength{\\oddsidemargin}{-69pt} \\begin{document}$$H > 1/4$$\\end{document}, thereby resolving an established open problem. Other processes studied include continuous and centred Gaussian semimartingales.