Fractional martingales and characterization of the fractional Brownian motion

DOI10.1214/09-AOP464zbMATH Open1196.60075arXiv0711.1313MaRDI QIDQ971945FDOQ971945

Authors: Yaozhong Hu, David Nualart, Jian Song 

Publication date: 17 May 2010

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

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.

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

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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)

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Cited In (22)

• Fractional Brownian fields, duality, and martingales
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• 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
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• Martingale representation and logarithmic-Sobolev inequality for the fractional Ornstein-Uhlenbeck measure

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