Rough integration via fractional calculus

Abstract

On the basis of fractional calculus, the author's previous study [9] introduced an approach to the integral of controlled paths against Holder rough paths. The integral in [9] is defined by the Lebesgue integrals for fractional derivatives without using any arguments based on discrete approximation. In this paper, we revisit the approach of [9] and show that, for a suitable class of Holder rough paths including geometric Holder rough paths, the integral in [9] is consistent with that obtained by the usual integration theory of rough path analysis, given by the limit of the compensated Riemann–Stieltjes sums.