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

DOI10.1016/J.SPL.2010.06.008MaRDI QIDQ990924zbMATHOpenAlexFDO

Authors Ehsan Azmoodeh, Heikki Tikanmäki, Esko Valkeila

Publication date 1 September 2010

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

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

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)

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.

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