The weak Stratonovich integral with respect to fractional Brownian motion with Hurst parameter 1/6
Probability
2010-06-23 v1
Abstract
Let be a fractional Brownian motion with Hurst parameter . It is known that the symmetric Stratonovich-style Riemann sums for do not, in general, converge in probability. We show, however, that they do converge in law in the Skorohod space of c\`adl\`ag functions. Moreover, we show that the resulting stochastic integral satisfies a change of variable formula with a correction term that is an ordinary It\^o integral with respect to a Brownian motion that is independent of .
Keywords
Cite
@article{arxiv.1006.4238,
title = {The weak Stratonovich integral with respect to fractional Brownian motion with Hurst parameter 1/6},
author = {Ivan Nourdin and Anthony Réveillac and Jason Swanson},
journal= {arXiv preprint arXiv:1006.4238},
year = {2010}
}
Comments
45 pages