利用Volterra表示构造分数布朗运动上的粗糙路径
概率论
2011-11-10 v2
摘要
本文致力于通过将多维分数布朗运动表示为Volterra高斯过程，为其构造任意Hurst参数下的粗糙路径。与首次引入上粗糙路径构造的文献[Stochastic Process. Appl. 120 (2010) 1444--1472]相比，该方法在代数和计算上有所简化。
引用
@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}
}
备注
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)