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arXiv · 1108.1099

Convergence rates for the full Gaussian rough paths

Peter Friz·Sebastian Riedel
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Abstract

Under the key assumption of finite ρ-variation, ρ\in[1,2), of the covariance of the underlying Gaussian process, sharp a.s. convergence rates for approximations of Gaussian rough paths are established. When applied to Brownian resp. fractional Brownian motion (fBM), ρ=1 resp. ρ=1/(2H), we recover and extend the respective results of [Hu--Nualart; Rough path analysis via fractional calculus; TAMS 361 (2009) 2689-2718] and [Deya--Neuenkirch--Tindel; A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion; AIHP (2011)]. In particular, we establish an a.s. rate k^{-(1/ρ-1/2-ε)}, any ε>0, for Wong-Zakai and Milstein-type approximations with mesh-size 1/k. When applied to fBM this answers a conjecture in the afore-mentioned references.

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Peter Friz, Sebastian Riedel. 2012-05-04. Convergence rates for the full Gaussian rough paths. https://arxiv.org/abs/1108.1099

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