Fractional martingales and characterization of the fractional Brownian motion

DOI10.1214/09-AOP464MaRDI QIDQ971945zbMATH OpenFDO

Authors Yaozhong Hu, David Nualart, Jian Song

Publication date 17 May 2010

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0711.1313

zbMATH Keywords

fractional Brownian motionlocal martingale\(\beta\)-variationfractional martingaleLévy's characterization theorem

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Functions of bounded variation, generalizations (26A45) Martingales with continuous parameter (60G44)

Abstract: In this paper we introduce the notion of fractional martingale as the fractional derivative of order $alpha$ of a continuous local martingale, where $alphain(-1/2,1/2)$, and we show that it has a nonzero finite variation of order $frac21+2alpha$, under some integrability assumptions on the quadratic variation of the local martingale. As an application we establish an extension of L'evy's characterization theorem for the fractional Brownian motion.

Recommendations

• An extension of the Lévy characterization to fractional Brownian motion
• Stochastic analysis of fractional brownian motions
• Fractional Brownian motion and martingale-differences
• Stochastic calculus for fractional Lévy processes
• scientific article; zbMATH DE number 2133108

Cites work

• scientific article; zbMATH DE number 438987 (Why is no real title available?)
• scientific article; zbMATH DE number 48363 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 2096685 (Why is no real title available?)
• scientific article; zbMATH DE number 3416765 (Why is no real title available?)
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• An extension of the Lévy characterization to fractional Brownian motion
• Arbitrage with Fractional Brownian Motion
• Fractional Brownian Motions, Fractional Noises and Applications
• Integral transformations and anticipative calculus for fractional Brownian motions
• Occupation densities

Cited in

(22)

• Martingale representation and logarithmic-Sobolev inequality for the fractional Ornstein-Uhlenbeck measure
• Fractional Brownian fields, duality, and martingales
• The \(\frac{4}{3}\)-variation of the derivative of the self-intersection Brownian local time and related processes
• Optimal sequential change detection for fractional diffusion-type processes
• A note on Riemann-Liouville processes
• Interacting particle systems in time-dependent geometries
• Intermittency for the stochastic heat equation driven by a rough time fractional Gaussian noise
• Operator Fractional Brownian Sheet and Martingale Differences
• Stationarity and control of a tandem fluid network with fractional Brownian motion input
• Gaussian and non-Gaussian processes of zero power variation
• Conditional expectations and martingales in the fractional Brownian field
• BSDEs driven by fractional Brownian motion with time-delayed generators
• Deviation probability bounds for fractional martingales and related remarks
• Fractional Brownian motion and martingale-differences
• Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity
• Nonparametric inference for fractional diffusion
• On integration by parts formula and characterization of fractional Ornstein-Uhlenbeck process
• On the eigenvalue process of a matrix fractional Brownian motion
• Recent advances on eigenvalues of matrix-valued stochastic processes
• An extension of the Lévy characterization to fractional Brownian motion
• On nested infinite occupancy scheme in random environment
• scientific article; zbMATH DE number 7371972 (Why is no real title available?)

This page was built for publication: Fractional martingales and characterization of the fractional Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q971945)