A tree approach to \(p\)-variation and to integration (Q2519682): Difference between revisions

The author considers the tree related to the real-valued path. The article is devoted to the relationship between the integration with respect to a path and with respect to some measure on a related tree. The connection between the \(p\)-variation of the path and the fractal dimension of the tree are established. The proposed construction covers the known cases of Yuong integral and rough path theory. As an application the integration with respect to Levy processes and a fractional Brownian motions is considered. The differential equation based on the proposed integral is treated.

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zbMATH Keywords

Lebesgue-Stieltjes integral

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rough path

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fractional Brownian motion

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Lévy processes

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author

Jean Picard

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reviewed by

Andrey A. Dorogovtsev

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MaRDI profile type

MaRDI publication profile

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cites work

The continuum random tree. III

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Limit theorems for logarithmic averages of fractional Brownian motions

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Q4888858

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Q3206060

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Stochastic analysis, rough path analysis and fractional Brownian motions.

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Q4789939

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Probabilistic and fractal aspects of Lévy trees

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Q5422644

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Probability and real trees. Ecole d'Eté de Probabilités de Saint-Flour XXXV -- 2005. Lecture given at the Saint-Flour probability summer school, July 6--23, 2005.

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Rayleigh processes, real trees, and root growth with re-grafting

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Q3995301

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Curvilinear integrals along enriched paths

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\(m\)-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index

0 references

Controlling rough paths

0 references

Quadratic variations and estimation of the local Hölder index of a Gaussian process

0 references

Subdiffusive behavior of random walk on a random cluster

0 references

Brownian excursions, trees and measure-valued branching processes

0 references

Branching processes in Lévy processes: The exploration process

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Q4453255

0 references

Differential equations driven by rough signals

0 references

Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004.

0 references

System Control and Rough Paths

0 references

Maximum of a fractional Brownian motion: Probabilities of small values

0 references

Q4720506

0 references

Q3975582

0 references

Local independence of fractional Brownian motion

0 references

Q3526634

0 references

Q4941949

0 references

Brownian excursions, stochastic integrals, and representation of Wiener functionals

0 references

The strong p-variation of martingales and orthogonal series

0 references

Combinatorial stochastic processes. Ecole d'Eté de Probabilités de Saint-Flour XXXII -- 2002.

0 references

Forward, backward and symmetric stochastic integration

0 references

Q4195688

0 references

Path-wise solutions of stochastic differential equations driven by Lévy processes

0 references

An inequality of the Hölder type, connected with Stieltjes integration

0 references

Integration with respect to fractal functions and stochastic calculus. I

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Identifiers

zbMATH Open document ID

1157.60055

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DOI

10.1214/07-AOP388

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2519682

@@ Property / author @@
+Jean Picard
@@ Property / author: Jean Picard / rank @@
+Normal rank
@@ Property / reviewed by @@
+Andrey A. Dorogovtsev
@@ Property / reviewed by: Andrey A. Dorogovtsev / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.2128
@@ Property / arXiv ID: 0705.2128 / rank @@
+Normal rank
@@ Property / cites work @@
+The continuum random tree. III
@@ Property / cites work: The continuum random tree. III / rank @@
+Normal rank
@@ Property / cites work @@
+Limit theorems for logarithmic averages of fractional Brownian motions
+Normal rank
@@ Property / cites work @@
+Q4888858
@@ Property / cites work: Q4888858 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3206060
@@ Property / cites work: Q3206060 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic analysis, rough path analysis and fractional Brownian motions.
+Normal rank
@@ Property / cites work @@
+Q4789939
@@ Property / cites work: Q4789939 / rank @@
+Normal rank
@@ Property / cites work @@
+Probabilistic and fractal aspects of Lévy trees
@@ Property / cites work: Probabilistic and fractal aspects of Lévy trees / rank @@
+Normal rank
@@ Property / cites work @@
+Q5422644
@@ Property / cites work: Q5422644 / rank @@
+Normal rank
@@ Property / cites work @@
+Probability and real trees. Ecole d'Eté de Probabilités de Saint-Flour XXXV -- 2005. Lecture given at the Saint-Flour probability summer school, July 6--23, 2005.
+Normal rank
@@ Property / cites work @@
+Rayleigh processes, real trees, and root growth with re-grafting
+Normal rank
@@ Property / cites work @@
+Q3995301
@@ Property / cites work: Q3995301 / rank @@
+Normal rank
@@ Property / cites work @@
+Curvilinear integrals along enriched paths
@@ Property / cites work: Curvilinear integrals along enriched paths / rank @@
+Normal rank
@@ Property / cites work @@
+\(m\)-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index
+Normal rank
@@ Property / cites work @@
+Controlling rough paths
@@ Property / cites work: Controlling rough paths / rank @@
+Normal rank
@@ Property / cites work @@
+Quadratic variations and estimation of the local Hölder index of a Gaussian process
+Normal rank
@@ Property / cites work @@
+Subdiffusive behavior of random walk on a random cluster
+Normal rank
@@ Property / cites work @@
+Brownian excursions, trees and measure-valued branching processes
+Normal rank
@@ Property / cites work @@
+Branching processes in Lévy processes: The exploration process
+Normal rank
@@ Property / cites work @@
+Q4453255
@@ Property / cites work: Q4453255 / rank @@
+Normal rank
@@ Property / cites work @@
+Differential equations driven by rough signals
@@ Property / cites work: Differential equations driven by rough signals / rank @@
+Normal rank
@@ Property / cites work @@
+Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004.
+Normal rank
@@ Property / cites work @@
+System Control and Rough Paths
@@ Property / cites work: System Control and Rough Paths / rank @@
+Normal rank
@@ Property / cites work @@
+Maximum of a fractional Brownian motion: Probabilities of small values
+Normal rank
@@ Property / cites work @@
+Q4720506
@@ Property / cites work: Q4720506 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3975582
@@ Property / cites work: Q3975582 / rank @@
+Normal rank
@@ Property / cites work @@
+Local independence of fractional Brownian motion
@@ Property / cites work: Local independence of fractional Brownian motion / rank @@
+Normal rank
@@ Property / cites work @@
+Q3526634
@@ Property / cites work: Q3526634 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4941949
@@ Property / cites work: Q4941949 / rank @@
+Normal rank
@@ Property / cites work @@
+Brownian excursions, stochastic integrals, and representation of Wiener functionals
+Normal rank
@@ Property / cites work @@
+The strong p-variation of martingales and orthogonal series
+Normal rank
@@ Property / cites work @@
+Combinatorial stochastic processes. Ecole d'Eté de Probabilités de Saint-Flour XXXII -- 2002.
+Normal rank
@@ Property / cites work @@
+Forward, backward and symmetric stochastic integration
+Normal rank
@@ Property / cites work @@
+Q4195688
@@ Property / cites work: Q4195688 / rank @@
+Normal rank
@@ Property / cites work @@
+Path-wise solutions of stochastic differential equations driven by Lévy processes
+Normal rank
@@ Property / cites work @@
+An inequality of the Hölder type, connected with Stieltjes integration
+Normal rank
@@ Property / cites work @@
+Integration with respect to fractal functions and stochastic calculus. I
+Normal rank