On Rough Path Constructions for Fractional Brownian Motion
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Mon, 25/01/2010 14:15 |
Samy Tindel (Universite henri Poincare (Nancy)) |
Stochastic Analysis Seminar  |
Eagle House |
| Abstract: In this talk we will review some recentadvances in order to construct geometric or weakly geometric rough paths abovea multidimensional fractional Brownian motion, with a special emphasis on thecase of a Hurst parameter H<1/4. In this context, the natural piecewiselinear approximation procedure of Coutin and Qian does not converge anymore,and a less physical method has to be adopted. We shall detail some steps ofthis construction for the simplest case of the Levy area. | |||