Stieltjes integration and stochastic calculus with respect to self-affine functions
A continuous function \(f:[0,1]\to R\) is a self-affine function of base \(\alpha\in(0,1)\) if its graph has a fractal-type property, \(\alpha\) being the parameter of the scaling transformation. The purpose of this paper is to present a sort of a deterministic stochastic calculus in the framework of self-affine functions of order \(\alpha=1/2\). Typically, such a function \(f\) has unbounded variation, in particular, the classical Stieltjes integral cannot be defined. However, the authors construct a so-called `order-two Stieltjes integral' of a function \(h(x)=g(x,f(x))\) (where \(g:R^ 2\to R\) is a \(C^ 2\) function) with respect to \(f\). They establish an analogue of the Itô formula (Itô's formula is the Fundamental Theorem of Stochastic Calculus). In the case when the image of the Lebesgue measure by \(f\) is absolutely continuous w.r.t. the Lebesgue measure, the authors obtain a Tanaka-like formula that provides an expression for the density (i.e. the local times) in terms of an order-two Stieltjes integral. A Stratonovich's formula is also proven, and the example when \(f\) is the so-called Rudin-Shapiro function is discussed. Previously, \textit{H. Föllmer} [Lect. Notes Math. 850, 143-150 (1981; Zbl 0461.60074)] and the reviewer [Ann. Probab. 17, No. 4, 1521- 1535 (1989; Zbl 0687.60054)] developed analogues of the stochastic calculus for deterministic functions, using a fixed sequence of partitions. Here, the authors use a second order averaging method, which gives more robustness.
- A class of deterministic self-affine processes
- scientific article; zbMATH DE number 1341830
- Fractional differentiation in the self-affine case. IV — random measures
- Stochastic differential equations on fractal sets
- Integration with respect to fractal functions and stochastic calculus. II
- Integrals and derivatives on net fractals.
- scientific article; zbMATH DE number 3890457
- Linear expansions, strictly ergodic homogeneous cocycles and fractals
- On the magnification of Cantor sets and their limit models
- Local time of self-affine sets of Brownian motion type and the jigsaw puzzle problem
- Forward integrals and SDE with fractal noise
- A class of deterministic self-affine processes
This page was built for publication: Stieltjes integration and stochastic calculus with respect to self-affine functions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1179786)
