The extension of step-$N$ signatures


Abstract: In 2009, Gyurko introduced $\Pi$-rough path which extends $p$-rough path. Inspired by this work we introduce the degree-$(\Pi,N)$ signature which can be treated as the step-$N$ signature for some $\Pi$. The degree-$(\Pi,N)$ signature holds some algebraic properties which will be proven in this paper.

Keywords: Rough path, signature, Lie group, Lie algebra

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