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2006 Curvilinear Integrals Along Enriched Paths
Denis Feyel, Arnaud de La Pradelle
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Electron. J. Probab. 11: 860-892 (2006). DOI: 10.1214/EJP.v11-356

Abstract

Inspired by the fundamental work of T.J. Lyons, we develop a theory of curvilinear integrals along a new kind of enriched paths in $R^d$. We apply these methods to the fractional Brownian Motion, and prove a support theorem for SDE driven by the Skorohod fBM of Hurst parameter $H > 1/4$.

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Denis Feyel. Arnaud de La Pradelle. "Curvilinear Integrals Along Enriched Paths." Electron. J. Probab. 11 860 - 892, 2006. https://doi.org/10.1214/EJP.v11-356

Information

Accepted: 6 October 2006; Published: 2006
First available in Project Euclid: 31 May 2016

zbMATH: 1110.60031
MathSciNet: MR2261056
Digital Object Identifier: 10.1214/EJP.v11-356

Subjects:
Primary: 26B20
Secondary: 26B35 , 34A26 , 46N30 , 53A04 , 60G15 , 60H10

Keywords: Curvilinear Integrals , fractional Brownian motion , H"older continuity , Rough paths , Stochastic differential equations , stochastic integrals

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