A note on higher dimensional p-variation

DOI10.1214/EJP.V16-951zbMATH Open1244.60066arXiv1102.4587OpenAlexW2042634187MaRDI QIDQ428557FDOQ428557

Authors: Nicolas Victoir, Peter Friz 

Publication date: 22 June 2012

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: We discuss $p$-variation regularity of real-valued functions defined on $[0,T{]}^2$, based on rectangular increments. When $p>1$, there are two slightly different notions of $p$-variation; both of which are useful in the context of Gaussian rough paths. Unfortunately, these concepts were blurred in previous works; the purpose of this note is to show that the aforementioned notions of $p$-variations are "$epsilon$-close". In particular, all arguments relevant for Gaussian rough paths go through with minor notational changes.

Full work available at URL: https://arxiv.org/abs/1102.4587

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zbMATH Keywords

Gaussian rough pathshigher dimensional \(p\)-variation

Mathematics Subject Classification ID

Gaussian processes (60G15) Sample path properties (60G17) Stochastic analysis (60H99)

Cited In (15)

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• A tree approach to \(p\)-variation and to integration
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• Skorohod and Stratonovich integrals for controlled processes
• Smooth rough paths and the applications
• The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory
• Examples of Itô càdlàg rough paths
• A Fubini type theorem for rough integration
• Convergence of trapezoid rule to rough integrals
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• Malliavin calculus and rough paths
• A note on the continuity in the hurst index of the solution of rough differential equations driven by a fractional brownian motion
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