Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\). (Q1433879): Difference between revisions

The paper is devoted to generalized covariation processes and an Itô formula related to the fractional Brownian motion. The paper follows ``almost pathwise calculus techniques'' developed by Russo and Vallois, and it reaches the \(H=\frac{1}{4}\) barrier, developing very detailed Gaussian calculations. One motivation of this paper is to prove an Itô-Stratonovich formula for the fractional Brownian motion with \(H\geq\frac{1}{4}\). Such a process has, in some sense, a finite 4-variation and a finite pathwise \(p\)-variation for \(p>4\). It was even proved that the cubic variation is, in some sense, zero, when the Hurst index is bigger than \(\frac{1}{6}\). The main achievement is the proof of the existence of the 4-covariation \([g(B^H),B^H,B^H,B^H]\) for \(H\geq\frac{1}{4}\), \(g\) being locally bounded. Moreover, it is proved that this covariation is Hölder continuous with parameter strictly smaller than \(\frac{1}{4}\). The result provides, as an applications, the Itô-Stratonovich formula for \(f(B^H)\), \(f\) being of class \(C^4\) and a generalized Bouleau-Yor formula for fractional Brownian motion. Some results for local time are also obtained. The technique used here is a ``pedestrian'' but accurate exploitation of the Gaussian feature of fractional Brownian motion.