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Approximation of rough paths of fractional Brownian motion

Annie Millet·Marta Sanz-Solé
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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.

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Annie Millet, Marta Sanz-Solé. 2005-09-15. Approximation of rough paths of fractional Brownian motion. https://doi.org/10.1007/978-3-7643-8458-6_16

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