dc.contributor.author | Harang, Fabian Andsem | |
dc.contributor.author | Wang, Xiaohua | |
dc.contributor.author | Tindel, Samy | |
dc.date.accessioned | 2023-06-20T12:15:43Z | |
dc.date.available | 2023-06-20T12:15:43Z | |
dc.date.created | 2023-05-15T08:25:02Z | |
dc.date.issued | 2023 | |
dc.identifier.issn | 0894-9840 | |
dc.identifier.uri | https://hdl.handle.net/11250/3072301 | |
dc.description.abstract | Based on the recent development of the framework of Volterra rough paths (Harang and Tindel in Stoch Process Appl 142:34–78, 2021), we consider here the probabilistic construction of the Volterra rough path associated to the fractional Brownian motion with H>12
and for the standard Brownian motion. The Volterra kernel k(t, s) is allowed to be singular, and behaving similar to |t−s|−γ
for some γ≥0
. The construction is done in both the Stratonovich and Itô senses. It is based on a modified Garsia–Rodemich–Romsey lemma which is of interest in its own right, as well as tools from Malliavin calculus. A discussion of challenges and potential extensions is provided | en_US |
dc.language.iso | eng | en_US |
dc.publisher | Springer | en_US |
dc.rights | Navngivelse 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by/4.0/deed.no | * |
dc.subject | Volterra equation | en_US |
dc.subject | Signature | en_US |
dc.subject | Rough path | en_US |
dc.subject | Malliavin calculus | en_US |
dc.subject | Fractional Brownian motion | en_US |
dc.title | Volterra Equations Driven by Rough Signals 3: Probabilistic Construction of the Volterra Rough Path for Fractional Brownian Motions | en_US |
dc.title.alternative | Volterra Equations Driven by Rough Signals 3: Probabilistic Construction of the Volterra Rough Path for Fractional Brownian Motions | en_US |
dc.type | Peer reviewed | en_US |
dc.type | Journal article | en_US |
dc.description.version | publishedVersion | en_US |
dc.source.journal | Journal of theoretical probability | en_US |
dc.identifier.doi | 10.1007/s10959-023-01251-y | |
dc.identifier.cristin | 2147397 | |
cristin.ispublished | true | |
cristin.fulltext | original | |
cristin.qualitycode | 1 | |