An integral functional driven by fractional Brownian motion

DOI10.1016/J.SPA.2018.07.004zbMATH Open1415.60037arXiv1602.08801OpenAlexW2964320481MaRDI QIDQ2000147FDOQ2000147

Authors: Xichao Sun, Litan Yan, Xianye Yu 

Publication date: 28 June 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: Let $B^H$ be a fractional Brownian motion with Hurst index $0<H<1$ and the weighted local time ${mathscrL}^H(cdot,t)$. In this paper, we consider the integral functional ${\displaystyle }$ {mathcal C}^H_t(a):=lim_{varepsilondownarrow 0}int_0^t1_{{|B^H_s-a|>varepsilon}}frac1{B^H_s-a}ds^{2H}equiv frac1{pi}{mathscr H}{mathscr L}^H(cdot,t)(a) ${\displaystyle }$ in $L^2(Omega)$ with $ainmathbbR,tgeq0$ and $mathscrH$ denoting the Hilbert transform. We show that ${\displaystyle }$ {mathcal C}^H_t(a)=2left((B^H_t-a)log|B^H_t-a|-B^H_t+alog|a| -int_0^tlog|B^H_s-a|delta B^H_s ight) ${\displaystyle }$ for all $ainmathbbR,tgeq0$ which is the fractional version of Yamada's formula, where the integral is the Skorohod integral. Moreover, we introduce the following {it occupation type formula}: ${\displaystyle }$ int_{mathbb R}{mathcal C}^H_t(a)g(a)da=2Hpiint_0^t({mathscr H}g)(B^H_s)s^{2H-1}ds ${\displaystyle }$ for all continuous functions $g$ with compact support.

Full work available at URL: https://arxiv.org/abs/1602.08801

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zbMATH Keywords

Malliavin calculusfractional Brownian motionlocal time[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=fractional+It%EF%BF%BD%EF%BF%BD+formula&go=Go fractional It�� formula]Cauchy's principal value

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

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Cited In (7)

• Random variables as pathwise integrals with respect to fractional Brownian motion
• Stochastic integrals driven by fractional Brownian motion and arbitrage: a tale of two integrals
• A functional LIL for \(m\)-fold integrated Brownian motion
• The fractional smoothness of integral functionals driven by Brownian motion
• Integration with respect to fractional local time with Hurst index \(1/2 < \text H < 1\)
• Limit theorems related to the integral functionals of one dimensional fractional Brownian motion
• Forward and symmetric Wick-Itô integrals with respect to fractional Brownian motion

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