Stochastic analysis, rough path analysis and fractional Brownian motions
In this paper we show, by using dyadic approximations, the existence of a geometric rough path associated with a fractional Brownian motion with Hurst parameter greater than 1/4. Using the integral representation of fractional Brownian motions, we furthermore obtain a Skohorod integral representatio...
| Main Authors: | , |
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| Format: | Journal article |
| Sprog: | English |
| Udgivet: |
2002
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