A construction of the rough path above fractional Brownian motion using Volterra's representation
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Publication:533747
DOI10.1214/10-AOP578zbMATH Open1219.60041arXiv0909.1307MaRDI QIDQ533747FDOQ533747
Publication date: 6 May 2011
Published in: The Annals of Probability (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/0909.1307
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Cited In (20)
- 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
- Large deviations for rough paths of the fractional Brownian motion
- On the Wiener chaos expansion of the signature of a Gaussian process
- Integration with respect to the non-commutative fractional Brownian motion
- Approximation of rough paths of fractional Brownian motion
- Pathwise asymptotics for Volterra processes conditioned to a noisy version of the Brownian motion
- Rough linear PDE's with discontinuous coefficients -- existence of solutions via regularization by fractional Brownian motion
- A \(K\)-rough path above the space-time fractional Brownian motion
- A Fourier analysis based new look at integration
- The Sewing lemma for \(0 < \gamma \leq 1\)
- Analysis of the gradient of the solution to a stochastic heat equation via fractional Brownian motion
- On backward problems for stochastic fractional reaction equations with standard and fractional Brownian motion
- Volterra equations driven by rough signals. III: Probabilistic construction of the Volterra rough path for fractional Brownian motions
- PARACONTROLLED DISTRIBUTIONS AND SINGULAR PDES
- Rough paths above Weierstrass functions
- Transport and continuity equations with (very) rough noise
- Stochastic integration with respect to fractional processes in Banach spaces
- Infinite dimensional pathwise Volterra processes driven by Gaussian noise -- probabilistic properties and applications --
- On Stratonovich and Skorohod stochastic calculus for Gaussian processes
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