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Register a new userExpected signature of stopped Brownian motion on $d$-dimensional $C^{2, alpha}$-domains has finite radius of convergence everywhere: $2leq d leq 8$
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A fundamental question in rough path theory is whether the expected signature of a geometric rough path completely determines the law of signature. One sufficient condition is that the expected signature has infinite radius of convergence, which is satisfied by various stochastic processes on a fixed time interval, including the Brownian motion. In contrast, for the Brownian motion stopped upon the first exit time from a bounded domain $Omega$, it is only known that the radius of convergence for the expected signature on sufficiently regular $Omega$ is strictly positive everywhere, and that the radius of convergence is finite at some point when $Omega$ is the $2$-dimensional unit disc ([1]). In this paper, we prove that on any bounded $C^{2,alpha}$-domain $Omega subset mathbb{R}^d$ with $2leq d leq 8$, the expected signature of the stopped Brownian motion has finite radius of convergence everywhere. A key ingredient of our proof is the introduction of a domain-averaging hyperbolic development (see Definition 4.1), which allows us to symmetrize the PDE system for the hyperbolic development of expected signature by averaging over rotated domains.
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