Volterra equations driven by rough signals. III: Probabilistic construction of the Volterra rough path for fractional Brownian motions

DOI10.1007/S10959-023-01251-YMaRDI QIDQ6204784zbMATH OpenFDO

Authors Fabian Harang, S. Tindel, Xiaohua Wang

Publication date 2 April 2024

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2202.05076

zbMATH Keywords

Malliavin calculusfractional Brownian motionsignatureVolterra equationrough path

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Rough paths (60L20) Signatures and data streams (60L10)

Abstract: Based on the recent development of the framework of Volterra rough paths, we consider here the probabilistic construction of the Volterra rough path associated to the fractional Brownian motion with $H>frac12$ and for the standard Brownian motion. The Volterra kernel $k(t,s)$ is allowed to be singular, and behaving similar to $|t-s{|}^{-gamma}$ for some $gammageq0$. The construction is done in both the Stratonovich and It^o sense. It is based on a modified Garsia-Rodemich-Romsey lemma which has an interest in its own right, as well as tools from Malliavin calculus. A discussion of challenges and potential extensions is provided.

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