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.
Citation
David Nualart. Samy Tindel. "A construction of the rough path above fractional Brownian motion using Volterra’s representation." Ann. Probab. 39 (3) 1061 - 1096, May 2011. https://doi.org/10.1214/10-AOP578
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