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W1979083211 abstract "We construct via dyadic approximations a canonical geometric rough path in the sense of [7] associated to a fractional Brownian motion with Hurst parameter h , h∈ ]1/4,1/2[ . Therefore, we obtain a Wong–Zakai type approximation theorem for solutions of stochastic differential equations driven by these fractional Brownian motions. L'objet de cette Note est de démontrer l'existence de trajectoires géométriques “rough” au sens de [7] pour le mouvement brownien fractionnaire de paramètre de Hurst h , h∈ ]1/4,1/2[ . Nous en déduisons un théorème de type Wong–Zakai d'approximation des solutions d'équations différentielles stochastiques dirigées par ces mouvements browniens fractionnaires." @default.
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W1979083211 date "2000-07-01" @default.
W1979083211 modified "2023-09-30" @default.
W1979083211 title "Stochastic differential equations for fractional Brownian motions" @default.
W1979083211 doi "https://doi.org/10.1016/s0764-4442(00)01594-9" @default.
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