A construction of the rough path above fractional Brownian motion using Volterra's representation

DOI10.1214/10-AOP578zbMath1219.60041arXiv0909.1307MaRDI QIDQ533747

David Nualart, Samy Tindel

Publication date: 6 May 2011

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0909.1307

zbMATH Keywords

fractional Brownian motionmultiple stochastic integralsrough paths theory

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

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