English

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 pp-th variation along a sequence of partitions where p1p \geq 1 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 pp 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 ϕ\phi-variation and multi-dimensional paths. Finally, we derive an isometry property for the pathwise F\"ollmer integral in terms of ϕ\phi variation.

Keywords

Cite

@article{arxiv.2111.13979,
  title  = {Fractional Ito calculus},
  author = {Rama Cont and Ruhong Jin},
  journal= {arXiv preprint arXiv:2111.13979},
  year   = {2021}
}
R2 v1 2026-06-24T07:54:18.862Z