On the 1H-variation of the divergence integral with respect to fractional Brownian motion with Hurst parameter H < 12

DOI10.1016/J.SPA.2015.06.001MaRDI QIDQ491179zbMATH OpenOpenAlexFDO

Authors David Nualart, E. H. Essaky

Publication date 24 August 2015

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1501.06986

zbMATH Keywords

divergence integralfractional Bessel processfractional Brownian motionMalliavin calculusSkorokhod integral

Mathematics Subject Classification ID

Self-similar stochastic processes (60G18) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Abstract: In this paper, we study the $frac1H$-variation of stochastic divergence integrals $X_t=in{t}_0^t{u}_{s}delta{B}_s$ with respect to a fractional Brownian motion $B$ with Hurst parameter $H<frac12$. Under suitable assumptions on the process u, we prove that the $frac1H$-variation of $X$ exists in $L^1(Omega)$ and is equal to $e_{H}in{t}_0^T|u_s{|}^{H}ds$, where $e_H=mathbbE|B_1{|}^H$. In the second part of the paper, we establish an integral representation for the fractional Bessel Process $|B_t|$, where $B_t$ is a $d$-dimensional fractional Brownian motion with Hurst parameter $H<frac12$. Using a multidimensional version of the result on the $frac1H$-variation of divergence integrals, we prove that if $2d{H}^2>1$, then the divergence integral in the integral representation of the fractional Bessel process has a $frac1H$-variation equals to a multiple of the Lebesgue measure.

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Cited in

(8)

• Some processes associated with fractional Bessel processes
• Bilinear equations in Hilbert space driven by paths of low regularity
• \(L^p\) uniform random walk-type approximation for fractional Brownian motion with Hurst exponent \(0 < H < \frac{1}{2} \)
• The 1/\(H\)-variation of the divergence integral with respect to the fractional Brownian motion for \(H>1/2\) and fractional Bessel processes
• Stochastic elastic equation driven by multiplicative multi-parameter fractional noise
• Drift parameter estimation for nonlinear stochastic differential equations driven by fractional Brownian motion
• Fractional diffusion Bessel processes with Hurst index \(H \in (0, \frac{1}{2})\)
• On the 1/H-variation of the divergence integral with respect to a Hermite process

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