A construction of the rough path above fractional Brownian motion using Volterra's representation
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Publication:533747
Abstract: This note is devoted to construct a rough path above a multidimensional fractional Brownian motion with any Hurst parameter , by means of its representation as a Volterra Gaussian process. This approach yields some algebraic and computational simplifications with respect to [Stochastic Process. Appl. 120 (2010) 1444--1472], where the construction of a rough path over was first introduced.
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Cited in
(23)- Differential equations driven by variable order Hölder noise and the regularizing effect of delay
- ɛ-Strong Simulation of Fractional Brownian Motion and Related Stochastic Differential Equations
- A rough path over multidimensional fractional Brownian motion with arbitrary Hurst index by Fourier normal ordering
- Large deviations for rough paths of the fractional Brownian motion
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