A construction of the rough path above fractional Brownian motion using Volterra's representation
Abstract
This note is devoted to construct a rough path above a multidimensional fractional Brownian motion B with any Hurst parameter H∈(0,1), by means of its representation as a Volterra Gaussian process. This approach yields some algebraic and computational simplifications with respect to [Stochastic Process. Appl. 120 (2010) 1444--1472], where the construction of a rough path over B was first introduced.
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