A rough path over multidimensional fractional Brownian motion with arbitrary Hurst index by Fourier normal ordering

Jérémie Unterberger

Stochastic Processes and their Applications, 2010, vol. 120, issue 8, 1444-1472

Abstract: Fourier normal ordering (Unterberger, 2009)Â [34] is a new algorithm to construct explicit rough paths over arbitrary Hölder-continuous multidimensional paths. We apply in this article the Fourier normal ordering algorithm to the construction of an explicit rough path over multi-dimensional fractional Brownian motion B with arbitrary Hurst index [alpha] (in particular, for [alpha]

Keywords: Fractional; Brownian; motion; Stochastic; integrals; Rough; paths; Hopf; algebra; of; decorated; rooted; trees (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (1)

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