Stochastic calculus for fractional Brownian motion with Hurst exponent \(H>\frac 1 4 \): A rough path method by analytic extension (Q1019090)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Stochastic calculus for fractional Brownian motion with Hurst exponent \(H>\frac 1 4 \): A rough path method by analytic extension
scientific article

    Statements

    Stochastic calculus for fractional Brownian motion with Hurst exponent \(H>\frac 1 4 \): A rough path method by analytic extension (English)
    0 references
    27 May 2009
    0 references
    The article is devoted to the integration with respect to d-dimensional fractional Brownian motion. For the Hurst parameter \(\alpha\in (\frac{1}{4},\frac{1}{2})\) the author proposes to use the geometric rough paths theory. To do this an analytic extension of fractional Brownian motion on upper half-plane in \(C\) is constructed. It is proved that the iterated integrals from this analytic process converge to a Lévy area for fractional Brownian motion.
    0 references
    fractional Brownian motion
    0 references
    stochastic integrals
    0 references
    Levy area
    0 references
    rough paths theory
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references