Discretely sampled signals and the rough Hoff process
Discretely sampled signals and the rough Hoff process
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DOI:
10.1016/j.spa.2016.02.011
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发表时间:
2016-09-01
影响因子:
1.4
通讯作者:
Lyons, Terry
中科院分区:
文献类型:
--
作者:
Flint, Guy;Hambly, Ben;Lyons, Terry
We introduce a canonical method for transforming a discrete sequential data set into an associated rough path made up of lead-lag increments. In particular, by sampling a d-dimensional continuous semimartingale X : [0, 1] -> R-d at a set of times D = {t(i)}, we construct a piecewise linear, axis-directed process X-D : [0, 1] -> R-2d comprised of a past and a future component. We call such an object the Hoff process associated with the discrete data {X-t}(ti is an element of D). The Hoff process can be lifted to its natural rough path enhancement and we consider the question of convergence as the sampling frequency increases. We prove that the Ito integral can be recovered from a sequence of random ODEs driven by the components of X-D. This is in contrast to the usual Stratonovich integral limit suggested by the classical Wong-Zakai Theorem (Wong and Zakai, 1965). Such random ODEs have a natural interpretation in the context of mathematical finance. (C) 2016 Elsevier B.V. All rights reserved.