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Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than

In this paper we introduce a stochastic integral with respect to the process where 0<[alpha]<1/2, and Wt is a Brownian motion. Sufficient integrability conditions are deduced using the techniques of the Malliavin calculus and the notion of fractional derivative. We study continuity properties of the indefinite integral and we derive a maximal inequality.
Year of publication:
2000
Authors: Alòs, Elisa ; Mazet, Olivier ; Nualart, David
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 86.2000, 1, p. 121-139
Publisher: Elsevier
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008874072
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