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Title: Volterra Equations Driven by Rough Signals 3: Probabilistic Construction of the Volterra Rough Path for Fractional Brownian Motions
Abstract

Based on the recent development of the framework of Volterra rough paths (Harang and Tindel in Stoch Process Appl 142:34–78, 2021), we consider here the probabilistic construction of the Volterra rough path associated to the fractional Brownian motion with$$H>\frac{1}{2}$$H>12and for the standard Brownian motion. The Volterra kernelk(ts) is allowed to be singular, and behaving similar to$$|t-s|^{-\gamma }$$|t-s|-γfor some$$\gamma \ge 0$$γ0. The construction is done in both the Stratonovich and Itô senses. It is based on a modified Garsia–Rodemich–Romsey lemma which is of interest in its own right, as well as tools from Malliavin calculus. A discussion of challenges and potential extensions is provided.

 
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NSF-PAR ID:
10411866
Author(s) / Creator(s):
; ;
Publisher / Repository:
Springer Science + Business Media
Date Published:
Journal Name:
Journal of Theoretical Probability
Volume:
37
Issue:
1
ISSN:
0894-9840
Format(s):
Medium: X Size: p. 307-351
Size(s):
["p. 307-351"]
Sponsoring Org:
National Science Foundation
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