English

Stochastic derivatives for fractional diffusions

Probability 2009-09-29 v4

Abstract

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

Keywords

Cite

@article{arxiv.math/0604315,
  title  = {Stochastic derivatives for fractional diffusions},
  author = {Sébastien Darses and Ivan Nourdin},
  journal= {arXiv preprint arXiv:math/0604315},
  year   = {2009}
}

Comments

Published in at http://dx.doi.org/10.1214/009117906000001169 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)