Fractional martingales and characterization of the fractional Brownian motion (Q971945): Difference between revisions

Lévy's characterization theorem states that a continuous stochastic process \((B_t, t\geq 0)\) adapted to a right-continuous filtration \(({\mathcal F}_t, t \geq 0)\) is an \({\mathcal F}_t\)-Brownian motion if and only if \(B\) is a local martingale and \(<B>_t = t.\) The motivation for this paper is to provide an extension of this characterization for fractional Brownian motion. To this end the paper introduces the notion of a fractional martingale as the fractional derivative of order \(\alpha\) of a continuous local martingale, where \(\alpha \in (-\frac{1}{2}, \frac{1}{2}).\) The fractional martingale is shown to have a nonzero finite variation of order \(\frac{2}{1+2\alpha},\) under some integrability assumptions on the quadratic variation of the local martingale. The proof of the characterization is based on the stochastic calculus with respect to fractional Brownian motion. An alternative characterization of fractional Brownian motion has been recently developed by \textit{J. Mishura} and \textit{E. Valkeila} [An extension of the Lévy characterization to fractional Brownian motion. Preprint (2007), to appear in Ann. Probab.]