Journal article
Integral Representation With Adapted Continuous Integrand With Respect To Fractional Brownian Motion
Year:
2014Published in:
Stochastic Analysis and ApplicationsFractional Brownian motion
Pathwise integral
Generalized Lebesgue-Stieltjes integral
Integral representation.
We show that if a random variable is a final value of an adapted Hölder 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.