Integral representation with adapted continuous integrand with respect to fractional Brownian motion
Probability
2014-03-11 v1
Abstract
We show that if a random variable is a final value of an adapted Holder continuous process, then it can be represented as a stochastic integral with respect to fractional Brownian motion, and the integrand is an adapted process, continuous up to the final point.
Keywords
Cite
@article{arxiv.1403.2066,
title = {Integral representation with adapted continuous integrand with respect to fractional Brownian motion},
author = {Georgiy Shevchenko and Lauri Viitasaari},
journal= {arXiv preprint arXiv:1403.2066},
year = {2014}
}