On Simpson's rule and fractional Brownian motion with H = 1/10

DOI10.1007/S10959-014-0552-1MaRDI QIDQ904713zbMATH OpenOpenAlexFDO

Authors Daniel Harnett, David Nualart

Publication date 13 January 2016

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1304.7172

zbMATH Keywords

fractional Brownian motionItō formulaMalliavin calculusSimpson's ruleSkorokhod integralstochastic integrationweak convergence

Mathematics Subject Classification ID

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

Abstract: We consider stochastic integration with respect to fractional Brownian motion (fBm) with $H<1/2$. The integral is constructed as the limit, where it exists, of a sequence of Riemann sums. A theorem by Gradinaru, Nourdin, Russo & Vallois (2005) holds that a sequence of Simpson's rule Riemann sums converges in probability for a sufficiently smooth integrand $f$ and when the stochastic process is fBm with $H>1/10$. For the case $H=1/10$, we prove that the sequence of sums converges in distribution. Consequently, we have an It^o-like formula for the resulting stochastic integral. The convergence in distribution follows from a Malliavin calculus theorem that first appeared in Nourdin and Nualart (2010).

Review text

In the present paper, the authors study the limiting behaviour of Riemann sums constructed according to Simpson's rule for a fractional Brownian motion. More precisely, let \(B\) be a fractional Brownian motion, that is, a centered Gaussian process with covariance function given by \[ \mathbb{E}[B_s B_t] = \frac{1}{2} \Big( s^{2H} + t^{2H} - |t-s|^{2H} \Big) \quad \text{for all \(s,t \geq 0\),} \] where \(H \in (0,1)\) is the Hurst parameter. Furthermore, let \(f : \mathbb{R} \to \mathbb{R}\) be a smooth function, and consider the Riemann sums constructed according to Simpson's rule with uniform partition: \[ S_n^S(t) := \sum_{j=0}^{\lfloor nt \rfloor - 1} \frac{1}{6} \Big( f' \Big( B_{\frac{j}{n}} \Big) + 4 f' \Big( \Big( B_{\frac{j}{n}} + B_{\frac{j+1}{n}} \Big) / 2 \Big) + f' \Big( B_{\frac{j+1}{n}} \Big) \Big) \Big( B_{\frac{j+1}{n}} - B_{\frac{j}{n}} \Big). \] The authors show that for \(H = 1/10\) this sequence of sums converges weakly to a random variable. More precisely, conditioned on the path \(\{ B_s: s \leq t \}\) one has \[ S_n^S(t) \to f(B_t) - f(0) + \frac{\beta}{2880} \int_0^t f^{(5)}(B_s)\, \mathrm{d}W_s \quad \text{weakly,} \] where \(W\) is a standard Brownian motion, independent of \(B\), and \(\beta \in \mathbb{R}\) is a constant, which is defined in the article. From this result, the authors derive the change-of-variable formula \[ f(B_t) = f(0) + \int_0^t f'(B_s)\, \mathrm{d}^S B_s - \frac{\beta}{2880} \int_0^t f^{(5)}(B_s)\, \mathrm{d}W_s \quad \text{in distribution}, \] where the stochastic integral with differential \(\text{d}^S B_s\) is understood as limit of the Simpson rule sums. The result of the authors contributes to a paper by \textit{M. Gradinaru} et al. [Ann. Inst. Henri Poincaré, Probab. Stat. 41, No. 4, 781--806 (2005; Zbl 1083.60045)], where it was shown that for \(H > 1/10\) the sequence of sums converges in probability, but generally does not converge in probability for \(H \leq 1/10\).

Recommendations

• Asymptotic error distribution for the Riemann approximation of integrals driven by fractional Brownian motion
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Stochastic integration with respect to fractional Brownian motion defined by non-uniform Riemann
• Stochastic integration with respect to fractional Brownian motion
• Stochastic integration with respect to the fractional Brownian motion

Cites work

• m-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index
• A change of variable formula with Itô correction term
• Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\)
• Central limit theorem for a Stratonovich integral with Malliavin calculus
• Central limit theorems for multiple Skorokhod integrals
• Central limit theorems for multiple stochastic integrals and Malliavin calculus
• Simpson's Rule Is Exact for Quintics
• Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
• The Malliavin Calculus and Related Topics
• The weak stratonovich integral with respect to fractional Brownian motion with Hurst parameter 1/6
• Variations of the solution to a stochastic heat equation
• Weak convergence of the Stratonovich integral with respect to a class of Gaussian processes

Cited in

(6)

• Weak symmetric integrals with respect to the fractional Brownian motion
• Two quadrature rules for stochastic Itô-integrals with fractional Sobolev regularity
• Discrete rough paths and limit theorems
• Symmetric stochastic integrals with respect to a class of self-similar Gaussian processes
• Central limit theorem for an iterated integral with respect to fBm with \(H>1/2\)
• Sample paths of the solution to the fractional-colored stochastic heat equation

This page was built for publication: On Simpson's rule and fractional Brownian motion with \(H = 1/10\)

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q904713)