Integral representation with respect to fractional Brownian motion under a log-H\"older assumption
Abstract
We show that if a random variable is the final value of an adapted log-H\"older 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.
0
Turn this paper into a lesson
ArcXiv compiles a structured reading guide from this paper's metadata: plain-English importance, contributions, prerequisite concepts, which sections to read first, flashcards, and a quiz. Grounded in the abstract, never invented.