Change-of-variable formula for the bi-dimensional fractional Brownian motion in Brownian time

MaRDI QIDQ3465402zbMATH OpenFDO

Authors Raghid Zeineddine

Publication date 21 January 2016

Full work available at URL https://arxiv.org/abs/1412.5341, http://alea.impa.br/articles/v12/12-24.pdf

zbMATH Keywords

Brownian timechange-of-variable formulafractional Brownian motionMalliavin calculus

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Abstract: Let X^{1}, X^{2} be two independent (two-sided) fractional Brownian motions having the same Hurst parameter H in (0,1), and let Y be a standard (one-sided) Brownian motion independent of (X^{1},X^{2}). In dimension 2, fractional Brownian motion in Brownian motion time (of index H) is, by definition, the process Z_t:= (Z^1_t, Z^2_t)= (X^{1}_{Y_t},X^{2}_{Y_t}). The main result of the present paper is an Ito's type formula for f(Z_t), when f:R^2 oR is smooth and H in [ 1/6,1). When H>1/6, the change-of-variable formula we obtain is similar to that of the classical calculus. In the critical case H=1/6, our change-of-variable formula is in law and involves the third partial derivatives of f as well as an extra Brownian motion independent of (X^1,X^2,Y). We also discuss the case H<1/6.

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(4)

• A change of variable formula for the 2D fractional Brownian motion of Hurst index bigger or equal to 1/4
• Fractional Brownian motion time-changed by gamma and inverse gamma process
• Asymptotic behavior of weighted power variations of fractional Brownian motion in Brownian time
• An Itô type formula for the fractional Brownian motion in Brownian time

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