The $L^q$-bounds for Derivatives of Unitary Developments of Random Continuous Geometric Rough Paths

RESUMO

In this paper we derive an explicit formula for derivatives of unitary developments of random continuous geometric rough paths of all orders and establish proper $L^q$-bounds for them, which allow us to study the analyticity of their characteristic functions in a quantitative manner and then prove that under some mild conditions the distributions of the signatures of random continuous geometric rough paths are determined by their expected signatures, provided the latter have positive radius of convergence. In particular, we give a partial affirmative answer to an open question posed by T. Lyons and H. Ni in ``Expected signature of Brownian motion up to the first exit time from a bounded domain'' (The Annals of Probability, 43(5), 2729-2762, 2015), concerning whether the expected signature of stopped Brownian motion determines the law of its signature.