Fractional Ito calculus
Classical Analysis and ODEs
2021-11-30 v1 Probability
Abstract
We derive It\^o-type change of variable formulas for smooth functionals of irregular paths with non-zero th variation along a sequence of partitions where is arbitrary, in terms of fractional derivative operators, extending the results of the F\"ollmer-Ito calculus to the general case of paths with 'fractional' regularity. In the case where is not an integer, we show that the change of variable formula may sometimes contain a non-zero a 'fractional' It\^o remainder term and provide a representation for this remainder term. These results are then extended to paths with non-zero variation and multi-dimensional paths. Finally, we derive an isometry property for the pathwise F\"ollmer integral in terms of variation.
Cite
@article{arxiv.2111.13979,
title = {Fractional Ito calculus},
author = {Rama Cont and Ruhong Jin},
journal= {arXiv preprint arXiv:2111.13979},
year = {2021}
}