Convergence rates for the full gaussian rough paths
Under the key assumption of finite -variation, , of the covariance of the underlying Gaussian process, sharp a.s. convergence rates for approximations of Gaussian rough paths are established. When applied to Brownian resp. fractional Brownian motion (fBM), resp. , we recover and extend the respective results of ( (2009) 2689–2718) and ( (2012) 518–550). In particular, we establish an a.s. rate , any , for Wong–Zakai and Milstein-type approximations with mesh-size...