Approximation of rough paths of fractional Brownian motion

MaRDI QIDQ3509344zbMATH OpenFDO

Authors Annie Millet, Marta Sanz-Solé

Publication date 1 July 2008

Full work available at URL https://arxiv.org/abs/math/0509353

zbMATH Keywords

fractional Brownian motionrough paths

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Recommendations

• Large deviations for rough paths of the fractional Brownian motion
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Cited in

(9)

• A \(K\)-rough path above the space-time fractional Brownian motion
• Convergence rates for the full Gaussian rough paths
• Large deviations for rough paths of the fractional Brownian motion
• Free-Knot Spline Approximation of Fractional Brownian Motion
• Yet another introduction to rough paths
• A construction of the rough path above fractional Brownian motion using Volterra's representation
• The rough path associated to the multidimensional analytic fBm with any Hurst parameter
• Approximations of fractional Brownian motion
• Differential equations driven by Gaussian signals

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