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

DOI10.1007/S10959-023-01251-YarXiv2202.05076MaRDI QIDQ6204784FDOQ6204784

Authors: Fabian Harang, S. Tindel, Xiaohua Wang 

Publication date: 2 April 2024

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

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.

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

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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)

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