Integral representation of random variables with respect to Gaussian processes

DOI10.3150/14-BEJ662MaRDI QIDQ5963505zbMATH OpenOpenAlexFDO

Authors Lauri Viitasaari

Publication date 22 February 2016

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1307.7559, https://projecteuclid.org/euclid.bj/1443620854

zbMATH Keywords

financial mathematicsFöllmer integralGaussian processesgeneralised Lebesgue-Stieltjes integralintegral representation

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Derivative securities (option pricing, hedging, etc.) (91G20)

Abstract: It was shown in Mishura et al. (Stochastic Process. Appl. 123 (2013) 2353-2369), that any random variable can be represented as improper pathwise integral with respect to fractional Brownian motion. In this paper, we extend this result to cover a wide class of Gaussian processes. In particular, we consider a wide class of processes that are H"{o}lder continuous of order $alpha>1/2$ and show that only local properties of the covariance function play role for such results.

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Cites work

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• scientific article; zbMATH DE number 438987 (Why is no real title available?)
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Cited in

(10)

• Representation as a Gaussian integral
• Adapted integral representations of random variables
• Integral representation with adapted continuous integrand with respect to fractional Brownian motion
• Representation of Gaussian fields in series with independent coefficients
• Integral representation with respect to fractional Brownian motion under a log-Hölder assumption
• Small ball properties and representation results
• Integrals for fully correlated Gaussians in relative coordinates
• scientific article; zbMATH DE number 96074 (Why is no real title available?)
• scientific article; zbMATH DE number 2124900 (Why is no real title available?)
• Representation of random variables as Lebesgue integrals

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