When does fractional Brownian motion not behave as a continuous function with bounded variation?

DOI10.1016/J.SPL.2010.06.008zbMATH Open1196.60065arXiv1004.1071OpenAlexW2083654567MaRDI QIDQ990924FDOQ990924

Authors: Ehsan Azmoodeh, Heikki Tikanmäki, Esko Valkeila 

Publication date: 1 September 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: If we compose a smooth function g with fractional Brownian motion B with Hurst index H > 1/2, then the resulting change of variables formula [or It/^o- formula] has the same form as if fractional Brownian motion would be a continuous function with bounded variation. In this note we prove a new integral representation formula for the running maximum of a continuous function with bounded variation. Moreover we show that the analogue to fractional Brownian motion fails.

Full work available at URL: https://arxiv.org/abs/1004.1071

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zbMATH Keywords

fractional Brownian motionfunction of bounded variationpathwise stochastic integralrunning maximum process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Functions of bounded variation, generalizations (26A45)

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