Random variables as pathwise integrals with respect to fractional Brownian motion

DOI10.1016/j.spa.2013.02.015zbMath1328.60131arXiv1111.1851OpenAlexW2137534276MaRDI QIDQ2444645

Esko Valkeila, Georgiy M. Shevchenko, Yuliya S. Mishura

Publication date: 10 April 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1111.1851

zbMATH Keywords

fractional Brownian motiongeneralized Lebesgue-Stieltjes integralpathwise stochastic integraldivergence integralfractional Black-Scholes model

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Financial applications of other theories (91G80) Stochastic integrals (60H05) Portfolio theory (91G10)

Related Items (6)

Extensions of the sewing lemma with applications ⋮ Integral representation with respect to fractional Brownian motion under a log-Hölder assumption ⋮ Small ball properties and representation results ⋮ Integral Representation with Adapted Continuous Integrand with Respect to Fractional Brownian Motion ⋮ Mixed fractional heat equation driven by fractional Brownian sheet and Lévy process ⋮ Integral representation of random variables with respect to Gaussian processes

Cites Work

• Wiener functionals as Ito integrals
• Integration with respect to fractal functions and stochastic calculus. I
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Monotonicity of certain functionals under rearrangement
• Stochastic calculus for fractional Brownian motion and related processes.
• On hedging European options in geometric fractional Brownian motion market model
• Arbitrage with Fractional Brownian Motion
• Fractional Processes as Models in Stochastic Finance
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Random variables as pathwise integrals with respect to fractional Brownian motion