Approximation of rough paths of fractional Brownian motion
arXiv:math/0509353 · doi:10.1007/978-3-7643-8458-6_16
Abstract
We consider a geometric rough path associated with a fractional Brownian motion with Hurst parameter . 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.
28 pages