Random variables as pathwise integrals with respect to fractional Brownian motion

DOI10.1016/j.spa.2013.02.015zbMath1328.60131arXiv1111.1851MaRDI QIDQ2444645

Esko Valkeila, Georgiy M. Shevchenko, Yuliya S. Mishura

Publication date: 10 April 2014

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

Full work available at URL: https://arxiv.org/abs/1111.1851

zbMATH Keywords

fractional Brownian motion; generalized Lebesgue-Stieltjes integral; pathwise stochastic integral; divergence integral; fractional Black-Scholes model

Mathematics Subject Classification ID

60G15: Gaussian processes

60G22: Fractional processes, including fractional Brownian motion

91G80: Financial applications of other theories

60H05: Stochastic integrals

91G10: Portfolio theory

Related Items

Integral representation of random variables with respect to Gaussian processes, Integral Representation with Adapted Continuous Integrand with Respect to Fractional Brownian Motion

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