A construction of the rough path above fractional Brownian motion using Volterra's representation (Q533747)
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| English | A construction of the rough path above fractional Brownian motion using Volterra's representation |
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A construction of the rough path above fractional Brownian motion using Volterra's representation (English)
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6 May 2011
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A rough path above a multidimensional fractional Brownian motion \(B\) with the Hurst parameter \(H<1/2\) is constructed via a representation of \(B\) as a Volterra stochastic integral, namely the multiple integrals are defined by general explicit formulae. The main purpose of the paper under review is to present a rather simple, elementary and computable construction of the rough path covering, in particular, the most difficult case when \(H\leq 1/4\).
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rough paths theory
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fractional Brownian motion
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multiple stochastic integrals
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0.9102247
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0.9099927
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0.89870423
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0.89486974
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0.88457173
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0.88201815
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0.87991977
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0.87660444
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0.87199867
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