A construction of the rough path above fractional Brownian motion using Volterra’s representation
Nualart, David ; Tindel, Samy
Ann. Probab., Tome 39 (2011) no. 1, p. 1061-1096 / Harvested from Project Euclid
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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.
Publié le : 2011-05-15
Classification:  Rough paths theory,  fractional Brownian motion,  multiple stochastic integrals,  60H05,  60H07,  60G15 
@article{1300281732,
     author = {Nualart, David and Tindel, Samy},
     title = {A construction of the rough path above fractional Brownian motion using Volterra's representation},
     journal = {Ann. Probab.},
     volume = {39},
     number = {1},
     year = {2011},
     pages = { 1061-1096},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1300281732}
}

Nualart, David; Tindel, Samy. A construction of the rough path above fractional Brownian motion using Volterra’s representation. Ann. Probab., Tome 39 (2011) no. 1, pp.  1061-1096. http://gdmltest.u-ga.fr/item/1300281732/