Integral representation with adapted continuous integrand with respect to fractional Brownian motion

Georgiy Shevchenko; Lauri Viitasaari

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arXiv · 1403.2066

Integral representation with adapted continuous integrand with respect to fractional Brownian motion

Georgiy Shevchenko·Lauri Viitasaari

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Abstract

We show that if a random variable is a final value of an adapted Holder continuous process, then it can be represented as a stochastic integral with respect to fractional Brownian motion, and the integrand is an adapted process, continuous up to the final point.

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BibTeX RIS

Georgiy Shevchenko, Lauri Viitasaari. 2014-03-09. Integral representation with adapted continuous integrand with respect to fractional Brownian motion. https://arxiv.org/abs/1403.2066

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