Seminar series
Date
Mon, 25 Jan 2010
14:15
14:15
Location
Eagle House
Speaker
Samy Tindel
Organisation
Universite henri Poincare (Nancy)
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.