We provide explicit series expansions to certain stochastic path-dependent in- tegral equations in terms of the path signature of the time augmented driving Brownian motion. Our framework encompasses a large class of stochastic linear Volterra and delay equations and in particular the fractional Brownian motion with a Hurst index H in (0, 1).

Our expressions allow to disentangle an infinite dimensional Markovian struc- ture. In addition they open the door to: (i) straightforward and simple approxima- tion schemes that we illustrate numerically, (ii) representations of certain Fourier- Laplace transforms in terms of a non-standard infinite dimensional Riccati equa- tion with important applications for pricing and hedging in quantitative finance.

Based on joint works with Louis-Amand Gérard and Yuxing Huang.