44 citations · 89 across the 9 of their papers we have counts for
4 papers · 2 filters
A Lévy area by Fourier normal ordering for multidimensional fractional Brownian motion with small Hurst index
Jeremie Unterberger
The main tool for stochastic calculus with respect to a multidimensional process with small Hölder regularity index is rough path theory. Once has been lifted to a rough pa…
Moment estimates for solutions of linear stochastic differential equations driven by analytic fractional Brownian motion
Jérémie Unterberger
As a general rule, differential equations driven by a multi-dimensional irregular path are solved by constructing a rough path over . The domain of definition ? and also est…
Discretizing the fractional Levy area
Andreas Neuenkirch, Samy Tindel, Jérémie Unterberger
In this article, we give sharp bounds for the Euler- and trapezoidal discretization of the Levy area associated to a d-dimensional fractional Brownian motion. We show that there ar…
A rough path over multidimensional fractional Brownian motion with arbitrary Hurst index by Fourier normal ordering
Jeremie Unterberger
Fourier normal ordering \cite{Unt09bis} is a new algorithm to construct explicit rough paths over arbitrary Hölder-continuous multidimensional paths. We apply in this article the F…