Approximation of rough paths of fractional Brownian motion

Details Approximation of rough paths of fractional Brownian motion Approximation of rough paths of fractional Brownian motion

2005-09-15

arxiv.org/abs/math/0509353v1

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

Mathematics

Probability

28 pages

Scientific paper

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

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.

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