A fractional calculus approach to rough integration (Q2272770)

An integral of a controlled path \((Y,Y')\) against a \(\beta\)-Hölder rough path \((X,\mathbb X)\), \(1/3<\beta\le1/2\), denoted as \(I_{(X,\mathbb X)}(Y,Y')\), is defined in terms of fractional derivative operators only. The main result, Theorem 2.5, asserts that this definition agrees with the approximation approach via step functions. Namely, the sums \[ \sum_{i=0}^{n-1}\,\bigl[Y_{t_i}(X_{t_{i+1}}-X_{t_i})+Y'_{t_i}\mathbb X_{t_i,t_{i+1}}\bigr], \] being integrals of step functions determined by partitions \(\mathcal P=\{s=t_0<\ldots<t_n=t\}\), \(0\le s<t\le T\), are shown to converge to \(I_{(X,\mathbb X)}(Y,Y')\) when the mesh of \(\mathcal P\) tends to zero.