Integral representation with respect to fractional Brownian motion under a log-Hölder assumption
We show that if a random variable is the final value of an adapted log-Hölder 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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
VTeX
2015-09-01
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| Series: | Modern Stochastics: Theory and Applications |
| Subjects: | |
| Online Access: | https://vmsta.vtex.vmt/doi/10.15559/15-VMSTA35CNF |