Integral representation with respect to fractional Brownian motion under a log-Hölder assumption
arXiv:1509.03894 · doi:10.15559/15-VMSTA35CNF
Abstract
We show that if a random variable is the final value of an adapted log-Hölder continuous process, then it can be represented as a stochastic integral with respect to a fractional Brownian motion with adapted integrand. In order to establish this representation result, we extend the definition of the fractional integral.
Published at http://dx.doi.org/10.15559/15-VMSTA35CNF in the Modern Stochastics: Theory and Applications (https://www.i-journals.org/vtxpp/VMSTA) by VTeX (http://www.vtex.lt/)