Journal article
Integral Representation With Respect To Fractional Brownian Motion Under A Log-Hölder Assumption
Year:
2015Published in:
Modern Stochastics: Theory and ApplicationsFractional Brownian motion
integral
representation
fractional integral
small deviation
We show that if a random variable is the final value of an adapted log-Hölder continuous process, then it can be represented as a stochastic integral with respect to a fractional Brownian motion with adapted integrand. In order to establish this representation result, we extend the definition of the fractional integral.