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

DOI10.1214/08-AOP413zbMath1172.60007arXivmath/0703697MaRDI QIDQ1019090

Jérémie M. Unterberger

Publication date: 27 May 2009

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0703697

zbMATH Keywords

fractional Brownian motionstochastic integralsrough paths theoryLevy area

Mathematics Subject Classification ID

Gaussian processes (60G15) Sample path properties (60G17) Stochastic integrals (60H05)

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