Differentiability of fractional integrals whose kernels contain fractional Brownian motion
The authors find conditions upon a function \(\beta\) under which the fractional integral NEWLINE\[NEWLINE \Phi (t)=\int_0^t\varphi (t,s) ds, NEWLINE\]NEWLINE where NEWLINE\[NEWLINE \varphi (t,s)=(t-s)^{1/2-H_0}\beta (s/t)\int_0^s\alpha (u) dB_u^H,\quad 1/2<H_0<1, NEWLINE\]NEWLINE \(\alpha\) is bounded and measurable, \(B_u^H\) is a fractional Brownian motion with \(\frac{1}{2}<H<1\). Such integrals appear in the procedure of the change of measure for Wiener integrals with respect to a fractional Brownian motion. An appropriate version of the stochastic Fubini theorem is also obtained.
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