Stochastic derivatives for fractional diffusions

DOI10.1214/009117906000001169MaRDI QIDQ2456036zbMATH OpenOpenAlexFDO

Authors Sébastien Darses, Ivan Nourdin

Publication date 17 October 2007

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0604315

zbMATH Keywords

fractional Brownian motionfractional differential equationMalliavin calculusNelson's derivativeStochastic derivatives

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Gaussian processes (60G15) Sample path properties (60G17) Stochastic calculus of variations and the Malliavin calculus (60H07)

Abstract: In this paper, we introduce some fundamental notions related to the so-called stochastic derivatives with respect to a given $sigma$-field $mathcalQ$. In our framework, we recall well-known results about Markov--Wiener diffusions. We then focus mainly on the case where $X$ is a fractional diffusion and where $mathcalQ$ is the past, the future or the present of $X$. We treat some crucial examples and our main result is the existence of stochastic derivatives with respect to the present of $X$ when $X$ solves a stochastic differential equation driven by a fractional Brownian motion with Hurst index $H>1/2$. We give explicit formulas.

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Cited in

(7)

• Asymptotic expansions at any time for scalar fractional SDEs with Hurst index \(H>1/2\)
• Derivative formulas and applications for degenerate stochastic differential equations with fractional noises
• scientific article; zbMATH DE number 1642344 (Why is no real title available?)
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• Stochastic modification of Newtonian dynamics and induced potential—Application to spiral galaxies and the dark potential
• Stochastic calculus for fractional Lévy processes
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