Stochastic calculus for fractional Brownian motion with Hurst exponent $H>1/4$: A rough path method by analytic extension

Jérémie Unterberger

The $d$-dimensional fractional Brownian motion (FBM for short) $B_t=((B_t^{(1)},...,B_t^{(d)}),t\in \mathbb{R})$ with Hurst exponent $\alpha$, $\alpha \in (0,1)$, is a $d$-dimensional centered,…