A CONSTRUCTION OF THE ROUGH PATH ABOVE FRACTIONAL BROWNIAN MOTION USING VOLTERRA'S REPRESENTATION
成果类型：
Article
署名作者：
Nualart, David; Tindel, Samy
署名单位：
University of Kansas; Universite de Lorraine
刊物名称：
ANNALS OF PROBABILITY
ISSN/ISSBN：
0091-1798
DOI：
10.1214/10-AOP578
发表日期：
2011
页码：
1061-1096
关键词：
摘要：
This note is devoted to construct a rough path above a multidimensional fractional Brownian motion B with any Hurst parameter H is an element of (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.