概率签名反演:从截断签名中学习条件分布
Probabilistic Signature Inversion: Learning Conditional Distributions from Truncated Signatures
Junoh Kang, Kiseop Lee, Bohyung Han
AI 速读 基于摘要
将截断签名反演重构为学习给定截断签名的路径条件分布的概率问题,并用签名条件流匹配模型作为估计器。
cs.LG
查看原文摘要
The signature transform is a principled feature map for continuous-time paths, valued for its uniqueness and universality. Recovering a path from its truncated signature is, however, structurally ill-posed, because the truncated signature map is not injective. We therefore reframe truncated signature inversion as a probabilistic problem---learning the conditional distribution of a path given its truncated signature---and adopt a signature-conditioned flow matching model as a practical estimator. This formulation elucidates the fundamental difficulty of inversion: posterior-sampling reconstruction error quantifies the irreducible uncertainty remaining after conditioning on a statistic. For Gaussian process families, we derive this error from the tractable posterior under linear-statistics conditioning, obtaining a closed form for log-GBM and numerically tractable formulas for drifted fBM and OU. This oracle error upper-bounds the corresponding error under truncated-signature conditioning, since truncated signatures are more informative than linear statistics. The experimental results are consistent with the theoretical analysis: the learned sampler under linear-statistics conditioning closely matches the theoretically derived posterior in both reconstruction error and distribution, while reconstruction errors decrease under richer truncated-signature conditioning. Moreover, generated paths faithfully recover the conditioning signature and preserve key distributional and temporal structures. Together, these results establish a well-posed probabilistic framework for truncated-signature inversion, with applicability demonstrated on financial data beyond the process families covered by theory. Code is available at https://github.com/Junoh-Kang/ProbSigInv.