A proof of the additivity of rough integral

Abstract

. On the basis of fractional calculus, we introduce an explicit formulation of the integral of controlled paths along H(cid:127)older rough paths in terms of Lebesgue integrals for fractional derivatives. The additivity with respect to the interval of integration, a fundamental property of the integral, is not apparent under the formulation because the fractional derivatives depend heavily on the endpoints of the interval of integration. In this paper, we provide a proof of the additivity of the integral under the formulation. Our proof seems to be simpler than those provided in previous studies and is suitable for utilizing the fractional calculus approach to rough path analysis.