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The signature of a path - inversion

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Stochastic Partial Differential Equations

Since Hambly and I introduced the notion of the signature of a path and proved that it uniquely characterised paths of finite length up to treelike components and its expected value determines the law of a compactly supported measure on these same paths an obvious but apparently difficult question has been to effectively determine the inverse and reconstruct the path from it’s signature. At last, progress has been made.

This talk is part of the Isaac Newton Institute Seminar Series series.

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