A construction of the rough path above fractional Brownian motion using Volterra’s representation
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Issue Date
2011-09-01Author
Nualart, David
Tindel, Samy
Publisher
Institute of Mathematical Statistics
Type
Article
Article Version
Scholarly/refereed, publisher version
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Show full item recordAbstract
This note is devoted to construct a rough path above a multidimensional fractional Brownian motion B with any Hurst parameter H∈(0, 1), 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 B was first introduced.
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This is the published version, also available here: http://dx.doi.org/10.1214/10-AOP578.
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Citation
Nualart, David & Tindel, Samy. "A construction of the rough path above fractional Brownian motion using Volterra’s representation." Ann. Probab. Volume 39, Number 3 (2011), 1061-1096. http://dx.doi.org/10.1214/10-AOP578.
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