Variability and the existence of rough integrals with irregular coefficients

Abstract

Within the context of rough path analysis via fractional calculus, we show how variability can be used to prove the existence of integrals with respect to H\"older continuous multiplicative functionals in the case of Lipschitz coefficients with first order partial derivatives of bounded variation. We discuss applications to certain Gaussian processes, in particular, fractional Brownian motions with Hurst index $\frac13<H\leq \frac12$.