From stochastic integral w.r.t. fractional Brownian motion to stochastic integral w.r.t. multifractional Brownian motion

MaRDI QIDQ5264665zbMATH OpenFDO

Authors Joachim Lebovits

Publication date 27 July 2015

Full work available at URL https://arxiv.org/abs/1305.0342

zbMATH Keywords

Gaussian processesconvergence in lawwhite noise theoryfractional and multifractional Brownian motionsWick-Itô integral

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) White noise theory (60H40)

Abstract: Stochastic integration w.r.t. fractional Brownian motion (fBm) has raised strong interest in recent years, motivated in particular by applications in finance and Internet traffic modelling. Since fBm is not a semi-martingale, stochastic integration requires specific developments. Multifractional Brownian motion (mBm) is a Gaussian process that generalizes fBm by letting the local H"older exponent vary in time. This is useful in various areas, including financial modelling and biomedicine. In this work we start from the fact, established in cite[Thm 2.1.(i)]{fBm_to_mBm_HerbinLebovitsVehel}, that an mBm may be approximated, in law, by a sequence of "tangent" fBms. We used this result to show how one can define a stochastic integral w.r.t. mBm from the stochastic integral w.r.t. fBm, defined in cite{Ben1}, in the White Noise Theory sense.

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Cited in

(9)

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• MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS
• Stochastic integration with respect to multifractional Brownian motion via tangent fractional Brownian motions
• An optimal control problem for a linear SPDE driven by a multiplicative multifractional Brownian motion
• General transfer formula for stochastic integral with respect to multifractional Brownian motion
• Multifractional Hermite processes: definition and first properties
• White noise-based stochastic calculus with respect to multifractional Brownian motion
• Nonhomogeneous fractional integration and multifractional processes
• Stochastic calculus with respect to Gaussian processes

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