A construction of the rough path above fractional Brownian motion using Volterra's representation - Archive ouverte HAL
Article Dans Une Revue Annals of Probability Année : 2011

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

David Nualart
Samy Tindel
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Résumé

This note is devoted to construct a rough path above a multidimensional fractional Brownian motion $B$ with any Hurst parameter H lesser than 1/2, by means of its representation as a Volterra Gaussian process. This approach yields some algebraic and computational simplifications with respect to a recent preprint by Unterberger, where the construction of a rough path over $B$ was first introduced.
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Dates et versions

hal-00414075 , version 1 (07-09-2009)

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David Nualart, Samy Tindel. A construction of the rough path above fractional Brownian motion using Volterra's representation. Annals of Probability, 2011, 39 (3), pp.1061-1096. ⟨10.1214/10-AOP578⟩. ⟨hal-00414075⟩
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