On rough paths above fractional Brownian motion

Samy Tindel

Description

On rough paths above fractional Brownian motion Samy Tindel University of Nancy Stochastic Analysis Seminar - Oxford 2010 Joint work with: David Nualart Samy T. (Nancy) Rough paths above fBm Oxford 2010 1 / 31

• levy area


• stochastic analysis


• xn ?


• rough paths


• main result


• rough paths review


• heuristic considerations


• iterated integrals


• integrals

Sujets

• Stochastic calculus
• Multiple integral
• Integral

Informations

• Publié par: pefav
• Nombre de lectures: 13
• Langue: English

Extrait

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On rough paths above fractional Brownian motion

Samy Tindel

University of Nancy

Stochastic Analysis Seminar - Oxford 2010

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Joint work with: David Nualart

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Sketch of the talk

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Introduction Brief rough paths review Rough paths and fractional Brownian motion Aim of the talk

1

2

Divergence of the Levy area: heuristic considerations

Rough paths construction forH≤14 Main result Construction of the Levy area Perspectives

3

Rough paths construction forH≤14 Main result Construction of the Levy area Perspectives

3

Introduction Brief rough paths review Rough paths and fractional Brownian motion Aim of the talk

1

Sketch

2

Divergence of the Levy area: heuristic considerations

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