NewEvery arXiv paper, its researchers & institutions — mapped.
paper

Approximation of rough paths of fractional Brownian motion

arXiv:math/0509353 · doi:10.1007/978-3-7643-8458-6_16

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.

28 pages