Stochastic Stratonovich calculus fBm for fractional Brownian motion with Hurst parameter less than \(1/2\) (Q5950098)

From MaRDI portal
Revision as of 00:59, 22 December 2023 by Importer (talk | contribs) (‎Created a new Item)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
scientific article; zbMATH DE number 1679648
Language Label Description Also known as
English
Stochastic Stratonovich calculus fBm for fractional Brownian motion with Hurst parameter less than \(1/2\)
scientific article; zbMATH DE number 1679648

    Statements

    Stochastic Stratonovich calculus fBm for fractional Brownian motion with Hurst parameter less than \(1/2\) (English)
    0 references
    0 references
    0 references
    0 references
    29 July 2002
    0 references
    Let \(B^H\) be fractional Brownian motion with Hurst parameter \(H\in(0,1)\). The authors study the existence of the `Stratonovich' integral \[ \delta^B_S(u)\doteq P-\lim_{\varepsilon\to 0} (2\varepsilon)^{-1} \int^T_0 u_s(B^H_{(s+ \varepsilon)\wedge T}- B^H_{(s- \varepsilon)\wedge 0}) ds \] defined for a certain class of processes \(u\). In particular, they show that \[ \delta^B_S(u)= \delta^B(u)+ \text{Tr }Du, \] where \(\delta^B(u)\) is so-called Skorokhod integral of the process \(u\) with respect to the fractional Brownian motion, \(D\) is the Malliavin derivative of the process \(u\) and Tr is the trace. Let \(F\) be a function with growth condition \(\max\{|F(x)|,|F'(x)|\}\leq ce^{\lambda x^2}\), where \(c\) and \(\lambda\) are positive constants and \(\lambda< T^{-2H}/4\). Moreover, if in addition to the assumptions mentioned above \(H> 1/4\), then the following makes sense: \[ \delta^B_S(F(B))= \delta^B(F(B))+ H \int^T_0 F'(B_t) t^{2H- 1} dt. \] After discussing with the help of some examples, when the integrals exist, the authors give an Itô formula in this context. The paper ends with an application to stochastic differential equations driven by fractional Brownian motion with \(H\in (1/4,1/2)\).
    0 references
    0 references
    fractional Brownian motion
    0 references
    Stratonovich integrals
    0 references
    Itô formula
    0 references

    Identifiers