| dc.contributor.author | Nualart, David | |
| dc.contributor.author | Tindel, Samy | |
| dc.date.accessioned | 2015-03-09T21:15:40Z | |
| dc.date.available | 2015-03-09T21:15:40Z | |
| dc.date.issued | 2011-09-01 | |
| dc.identifier.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. | en_US |
| dc.identifier.uri | http://hdl.handle.net/1808/17015 | |
| dc.description | This is the published version, also available here: http://dx.doi.org/10.1214/10-AOP578. | en_US |
| dc.description.abstract | 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. | en_US |
| dc.publisher | Institute of Mathematical Statistics | en_US |
| dc.subject | Rough paths theory | en_US |
| dc.subject | fractional Brownian motion | en_US |
| dc.subject | multiple stochastic integrals | en_US |
| dc.title | A construction of the rough path above fractional Brownian motion using Volterra’s representation | en_US |
| dc.type | Article | |
| kusw.kuauthor | Nualart, David | |
| kusw.kudepartment | Mathematics | en_US |
| dc.identifier.doi | 10.1214/10-AOP578 | |
| kusw.oaversion | Scholarly/refereed, publisher version | |
| kusw.oapolicy | This item meets KU Open Access policy criteria. | |
| dc.rights.accessrights | openAccess | |
