Approximation of rough paths of fractional Brownian motion

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dc.creatorMillet, Annie
dc.creatorSanz-Solé, Marta
dc.date2005-09-15
dc.date.accessioned2026-07-07T12:31:41Z
dc.date.available2026-07-07T12:31:41Z
dc.descriptionWe consider a geometric rough path associated with a fractional Brownian motion with Hurst parameter $H\in]{1/4}, {1/2}[$. We give an approximation result in a modulus type distance, up to the second order, by means of a sequence of rough paths lying above elements of the reproducing kernel Hilbert space.
dc.description28 pages
dc.identifierhttps://arxiv.org/abs/math/0509353
dc.identifierhttp://arxiv.org/abs/math/0509353
dc.identifierSeminar on Stochastic Analysis, Random Fields and Applications V, Birkhauser (Ed.) (2008) 275-304
dc.identifierdoi:10.1007/978-3-7643-8458-6_16
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/216531
dc.subjectProbability
dc.subjectPrimary 60G15; Secondary 60H05, 60H07
dc.titleApproximation of rough paths of fractional Brownian motion
dc.typetext

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