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math.PR2003
Approximations of the Brownian Rough Path with Applications to Stochastic Analysis
Peter Friz, Nicolas Victoir
A geometric p-rough path can be seen to be a genuine path of finite p-variation with values in a Lie group equipped with a natural distance. The group and its distance lift (R^{d},…
math.PR2003★ 8 cited
Continuity of the Ito-Map for Hoelder rough paths with applications to the support theorem in Hoelder norm
Peter K. Friz
Lyons' Rough Path theory is currently formulated in p-variation topology. We extend his main-result, the Universal Limit Theorem, to a stronger Hoelder topology. Several approximat…