Abstract
We investigate when multidimensional stochastic processes can be viewed – in a “canonical” fashion – as random rough paths. Gaussianity only enters through equivalence of moments. A simple criterion is given which applies in particular to fractional Brownian motion with suitable Hurst parameter.
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© 2014 Springer International Publishing Switzerland
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Friz, P.K., Hairer, M. (2014). Gaussian rough paths. In: A Course on Rough Paths. Universitext. Springer, Cham. https://doi.org/10.1007/978-3-319-08332-2_10
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DOI: https://doi.org/10.1007/978-3-319-08332-2_10
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Publisher Name: Springer, Cham
Print ISBN: 978-3-319-08331-5
Online ISBN: 978-3-319-08332-2
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