A construction of the rough path above fractional Brownian motion using Volterra's representation
Probability
2011-11-10 v2
Abstract
This note is devoted to construct a rough path above a multidimensional fractional Brownian motion with any Hurst parameter , by means of its representation as a Volterra Gaussian process. This approach yields some algebraic and computational simplifications with respect to [Stochastic Process. Appl. 120 (2010) 1444--1472], where the construction of a rough path over was first introduced.
Keywords
Cite
@article{arxiv.0909.1307,
title = {A construction of the rough path above fractional Brownian motion using Volterra's representation},
author = {David Nualart and Samy Tindel},
journal= {arXiv preprint arXiv:0909.1307},
year = {2011}
}
Comments
Published in at http://dx.doi.org/10.1214/10-AOP578 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)