English

The weak Stratonovich integral with respect to fractional Brownian motion with Hurst parameter 1/6

Probability 2010-06-23 v1

Abstract

Let BB be a fractional Brownian motion with Hurst parameter H=1/6H=1/6. It is known that the symmetric Stratonovich-style Riemann sums for g(B(s))dB(s)\int g(B(s))\,dB(s) 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 BB.

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