Integral representation with adapted continuous integrand with respect to fractional Brownian motion

DOI10.1080/07362994.2014.948725MaRDI QIDQ2937459zbMATH OpenOpenAlexFDO

Authors Lauri Viitasaari, G. M. Shevchenko

Publication date 9 January 2015

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1403.2066

zbMATH Keywords

fractional Brownian motiongeneralized Lebesgue-Stieltjes integralstochastic integraladapted Hölder continuous process

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

Abstract: We show that if a random variable is a final value of an adapted Holder continuous process, then it can be represented as a stochastic integral with respect to fractional Brownian motion, and the integrand is an adapted process, continuous up to the final point.

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Cites work

• A General Fractional White Noise Theory And Applications To Finance
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Integration with respect to fractal functions and stochastic calculus. I
• On hedging European options in geometric fractional Brownian motion market model
• Random variables as pathwise integrals with respect to fractional Brownian motion
• THE RESTRICTION OF THE FRACTIONAL ITÔ INTEGRAL TO ADAPTED INTEGRANDS IS INJECTIVE
• Wiener functionals as Ito integrals

Cited in

(4)

• Adapted integral representations of random variables
• Small ball properties and representation results
• Integral representation of random variables with respect to Gaussian processes
• Integral representation with respect to fractional Brownian motion under a log-Hölder assumption

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