A tree approach to \(p\)-variation and to integration (Q2519682): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A tree approach to \(p\)-variation and to integration |
scientific article |
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A tree approach to \(p\)-variation and to integration (English)
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27 January 2009
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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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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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