A renormalized rough path over fractional Brownian motion
Probability
2010-06-30 v1
Abstract
We construct in this article a rough path over fractional Brownian motion with arbitrary Hurst index by (i) using the Fourier normal ordering algorithm introduced in \cite{Unt-Holder} to reduce the problem to that of regularizing tree iterated integrals and (ii) applying the Bogolioubov-Parasiuk-Hepp-Zimmermann (BPHZ) renormalization algorithm to Feynman diagrams representing tree iterated integrals.
Cite
@article{arxiv.1006.5604,
title = {A renormalized rough path over fractional Brownian motion},
author = {Jeremie Unterberger},
journal= {arXiv preprint arXiv:1006.5604},
year = {2010}
}
Comments
46 pages, 6 figures