A rough path over multidimensional fractional Brownian motion with arbitrary Hurst index by Fourier normal ordering

作者：Unterberger Jeremie^*

来源：Stochastic Processes and Their Applications, 2010, 120(8): 1444-1472.

DOI：10.1016/j.spa.2010.04.001

• Fractional Brownian motion
• Stochastic integrals
• Rough paths
• Hopf algebra of decorated rooted trees

Fourier normal ordering (Unterberger, 2009) [341 is a new algorithm to construct explicit rough paths over arbitrary Holder-continuous multidimensional paths. We apply in this article the Fourier normal ordering algorithm to the construction of an explicit rough path over multi-dimensional fractional Brownian motion B with arbitrary Hurst index alpha (in particular, for alpha <= 1/4, which was till now an open problem) by regularizing the iterated integrals of the analytic approximation of B defined in Unterberger (2009) [32]. The regularization procedure is applied to 'Fourier normal ordered' iterated integrals obtained by permuting the order of integration so that innermost integrals have highest Fourier modes. The algebraic properties of this rough path are best understood using two Hopf algebras: the Hopf algebra of decorated rooted trees (Connes and Kreimer, 1998) [6] for the multiplicative or Chen property, and the shuffle algebra for the geometric or shuffle property. The rough path lives in Gaussian chaos of integer orders and is shown to have finite moments.
As well-known, the construction of a rough path is the key to defining a stochastic calculus and solving stochastic differential equations driven by B.
The article Unterberger [35] gives a quick overview of the method.

• 出版日期2010-8