An integral functional driven by fractional Brownian motion

DOI10.1016/J.SPA.2018.07.004MaRDI QIDQ2000147zbMATHOpenAlexFDO

Authors Xichao Sun, Litan Yan, Xianye Yu

Publication date 28 June 2019

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

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

zbMATH Keywords

Malliavin calculusfractional Brownian motionlocal timeCauchy's principal valuefractional Itô formula

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)

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.

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Cited in

(9)

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

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