arXiv:math/0509353 Abstract

arXiv:math/0509353 [math.PR]Abstract References Reviews Resources

Approximation of rough paths of fractional Brownian motion

Published 2005-09-15Version 1

We 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.

Comments: 28 pages

Journal: Seminar on Stochastic Analysis, Random Fields and Applications V, Birkhauser (Ed.) (2008) 275-304

DOI: 10.1007/978-3-7643-8458-6_16

Categories: math.PR

Subjects: 60G15, 60H05, 60H07

Keywords: fractional brownian motion, modulus type distance, reproducing kernel hilbert space, hurst parameter, geometric rough path

Tags: journal article

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