Adapted integral representations of random variables

DOI10.1142/S2010194515600046zbMATH Open1337.60110arXiv1404.7518OpenAlexW2118660392MaRDI QIDQ2803668FDOQ2803668

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)

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.

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

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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)

Cites Work

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

Cited In (9)

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

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