Approximation of rough paths of fractional Brownian motion
Probability
2009-01-20 v1
Abstract
We consider a geometric rough path associated with a fractional Brownian motion with Hurst parameter . We give an approximation result in a modulus type distance, up to the second order, by means of a sequence of rough paths lying above elements of the reproducing kernel Hilbert space.
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Cite
@article{arxiv.math/0509353,
title = {Approximation of rough paths of fractional Brownian motion},
author = {Annie Millet and Marta Sanz-Solé},
journal= {arXiv preprint arXiv:math/0509353},
year = {2009}
}
Comments
28 pages