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Stochastic derivatives for fractional diffusions

Sébastien Darses, Ivan Nourdin

math.PRarXiv:math/0604315

Abstract

In this paper, we introduce some fundamental notions related to the so-called stochastic derivatives with respect to a given σ-field Q. In our framework, we recall well-known results about Markov--Wiener diffusions. We then focus mainly on the case where X is a fractional diffusion and where Q is the past, the future or the present of X. We treat some crucial examples and our main result is the existence of stochastic derivatives with respect to the present of X when X solves a stochastic differential equation driven by a fractional Brownian motion with Hurst index H>1/2. We give explicit formulas.

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