A rough path over multidimensional fractional Brownian motion with arbitrary Hurst index by Fourier normal ordering
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Abstract: Fourier normal ordering cite{Unt09bis} is a new algorithm to construct explicit rough paths over arbitrary H"older-continuous multidimensional paths. We apply in this article the Fourier normal ordering ordering algorithm to the construction of an explicit rough path over multi-dimensional fractional Brownian motion with arbitrary Hurst index (in particular, for , which was till now an open problem) by regularizing the iterated integrals of the analytic approximation of defined in cite{Unt08}. The regularization procedure is applied to 'Fourier normal ordered' iterated integrals obtained by permuting the order of integration so that innermost integrals have highest Fourier modes. The algebraic properties of this rough path are best understood using two Hopf algebras: the Hopf algebra of decorated rooted trees cite{ConKre98} for the multiplicative or Chen property, and the shuffle algebra for the geometric or shuffle property. The rough path lives in Gaussian chaos of integer orders and is shown to have finite moments. As well-known, the construction of a rough path is the key to defining a stochastic calculus and solve stochastic differential equations driven by . The article cite{Unt09ter} gives a quick overview of the method.
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Cited in
(16)- Time reversal of Volterra processes driven stochastic differential equations
- The non-linear sewing lemma. II. Lipschitz continuous formulation
- A \(K\)-rough path above the space-time fractional Brownian motion
- Rough linear PDE's with discontinuous coefficients -- existence of solutions via regularization by fractional Brownian motion
- A renormalized rough path over fractional Brownian motion
- Hurst exponent estimation of fractional surfaces for mammogram images analysis
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- The rough path associated to the multidimensional analytic fBm with any Hurst parameter
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