A note on higher dimensional $p$-variation

Abstract

We discuss $p$-variation regularity of real-valued functions defined on $[0,T]^2$, based on rectangular increments. When $p>1$, there are two slightly different notions of $p$-variation; both of which are useful in the context of Gaussian rough paths. Unfortunately, these concepts were blurred in previous works; the purpose of this note is to show that the aforementioned notions of $p$-variations are "$\epsilon$-close". In particular, all arguments relevant for Gaussian rough paths go through with minor notational changes.