Adapted integral representations of random variables

DOI10.1142/S2010194515600046MaRDI QIDQ2803668zbMATHOpenAlexFDO

Authors Lauri Viitasaari, G. M. Shevchenko

Publication date 2 May 2016

Published in International Journal of Modern Physics: Conference Series (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1404.7518

zbMATH Keywords

fractional Brownian motiongeneralized Lebesgue-Stieltjes integralmixed fractional Brownian motionintegral representationspathwise integralHölder processes

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

Abstract: We study integral representations of random variables with respect to general H"older continuous processes and with respect to two particular cases; fractional Brownian motion and mixed fractional Brownian motion. We prove that arbitrary random variable can be represented as an improper integral, and that the stochastic integral can have any distribution. If in addition the random variable is a final value of an adapted H"older continuous process, then it can be represented as a proper integral. It is also shown that in the particular case of mixed fractional Brownian motion, any adapted random variable can be represented as a proper integral.

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Cites work

• Integral representation of random variables with respect to Gaussian processes
• Integral representation with adapted continuous integrand with respect to fractional Brownian motion

Cited in

(9)

• Integral representation with adapted continuous integrand with respect to fractional Brownian motion
• Small ball properties and representation results
• Admissible representations for probability measures
• Integral representation with respect to fractional Brownian motion under a log-Hölder assumption
• A characterization of adapted distribution
• Integral representation of random variables with respect to Gaussian processes
• A family of integral representations for the Brownian variables.
• Adapted Probability Distributions
• Representation of random variables as Lebesgue integrals

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