A construction of the rough path above fractional Brownian motion using Volterra's representation
classification
🧮 math.PR
keywords
pathroughabovebrownianconstructionfractionalmotionprocess
pith:7CQASSVF Add to your LaTeX paper
What is a Pith Number?\usepackage{pith}
\pithnumber{7CQASSVF}
Prints a linked pith:7CQASSVF badge after your title and writes the identifier into PDF metadata. Compiles on arXiv with no extra files. Learn more
read the original abstract
This note is devoted to construct a rough path above a multidimensional fractional Brownian motion $B$ with any Hurst parameter $H\in(0,1)$, 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.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.