Density of the signature process of fBm (1904.09384v1)

Abstract: We study the density of the signature of fractional Brownian motions with parameter $H>1/4$. In particular, we prove existence, smoothness, global Gaussian upper bounds and Varadhan's type asymptotics for this density. A key result is that the estimates on the density we obtain are controlled by the Carnot-Carath\'eodory distance of the group.