Concise $(\varepsilon,r)$-representations of a path

Paths $X \colon [0,T] \to \mathbb R^d$ are traditionally stored in finite memory as time series.

Recent research has underscored the benefits of instead representing them as collections of iterated integrals $\{\int_{0 < u_1 < \ldots < u_n < T} \mathrm{d} X_{u_1} \otimes \cdots \otimes \mathrm{d} X_{u_n}\}_{n = 0}^N$.

These two encodings can be viewed as the extrema on a two-parameter spectrum of representations of the path as degree-$N$ signatures on $m$ intervals in a partition of $[0,T]$.

We ask the question of which such representation takes up the least amount of memory, measured as number of real values needed to store the truncated log-signature, subject to the constraint of it being able to approximate solutions to linear controlled differential equations (CDEs) $\mathrm{d} Y = AY \mathrm{d} X$ with $|A| \leq r$ at accuracy at least $\varepsilon$.

Estimating the error in terms of the length of $X$, we find that the optimal representation generally lies strictly in between the two naive choices $N = 1$ or $m = 1$, and derive its asymptotics as $r \to \infty$ and $\varepsilon \to 0^+$.

Similar considerations can be made when estimating the error in terms of the $p$-variation norm of $X$: in this regime we prove an error bound of the degree-$N$ Euler scheme for linear CDEs with decay in both $m$ and (factorially) in $N$ with the other arbitrarily fixed.

We conclude by setting up the analogous problem for SDEs, with the error measured in $L^2$, and derive a similar $L^2$-Euler error estimate for Itô SDEs with drift.

We include an empirical study of the optimisation problem, which we demonstrate for toy examples of $p$-rough paths and for fractional Brownian motion.