The rough path associated to the multidimensional analytic fBm with any Hurst parameter
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Publication:545670
DOI10.1007/s13348-010-0021-9zbMath1220.60022arXiv0810.1408OpenAlexW2038847912MaRDI QIDQ545670
Samy Tindel, Jérémie M. Unterberger
Publication date: 22 June 2011
Published in: Collectanea Mathematica (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0810.1408
Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)
Related Items (8)
A renormalized rough path over fractional Brownian motion ⋮ A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion ⋮ Non-linear rough heat equations ⋮ A construction of the rough path above fractional Brownian motion using Volterra's representation ⋮ Discretizing the fractional Lévy area ⋮ A rough path over multidimensional fractional Brownian motion with arbitrary Hurst index by Fourier normal ordering ⋮ Hölder-continuous rough paths by Fourier normal ordering ⋮ Complex analysis and rough paths
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