Minimal variance hedging for fractional Brownian motion (Q1884152): Difference between revisions

A stochastic (pathwise) integral was defined with respect to the fractional Brownian motion in case of Hurst parameter \(H>\frac 12\) by \textit{T. E. Duncan, Y. Hu} and \textit{B. Pasik-Duncan} [SIAM J. Control Optimization 38, No. 2, 582--612 (2000; Zbl 0947.60061)], or \textit{R. J. Eliott} and \textit{J. van der Hoek} [Math. Finance 13, No. 2, 301--330 (2003; Zbl 1069.91047)] or \textit{Y. Hu} and \textit{B. Øksendal} [Infin. Dimens. Anal. Quantum Probab. Relat. Top. 6, No. 1, 1--32 (2003; Zbl 1045.60072)] thanks to Wick product. Here the aim of the paper is to extend this stochastic integral to a \(d\)-dimensional fractional Brownian motion, the components of which being independent. The isometry property is preserved. A multi-dimensional Itô formula and an integration by parts formula are provided. Finally, there is an application to the problem of minimal variance hedging in a possible incomplete market driven by a \(d\)-dimensional fractional Brownian motion. We have to stress that the limit of these technics is the condition that any Hurst parameter is to be \(>\frac 12\).