{
  "id": "math/0509353",
  "version": "v1",
  "published": "2005-09-15T18:25:42.000Z",
  "updated": "2005-09-15T18:25:42.000Z",
  "title": "Approximation of rough paths of fractional Brownian motion",
  "authors": [
    "Annie Millet",
    "Marta Sanz-Solé"
  ],
  "comment": "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"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2005-09-15T18:25:42.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60G15",
      "60H05",
      "60H07"
    ],
    "keywords": [
      "fractional brownian motion",
      "modulus type distance",
      "reproducing kernel hilbert space",
      "hurst parameter",
      "geometric rough path"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 28,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2005math......9353M"
    }
  }
}