ATTENTION: The software behind KU ScholarWorks is being upgraded to a new version. Starting July 15th, users will not be able to log in to the system, add items, nor make any changes until the new version is in place at the end of July. Searching for articles and opening files will continue to work while the system is being updated.
If you have any questions, please contact Marianne Reed at mreed@ku.edu .
A construction of the rough path above fractional Brownian motion using Volterra’s representation
| 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 |
