Journal article

Integral Representation With Respect To Fractional Brownian Motion Under A Log-Hölder Assumption

Year:

2015

Published in:

Modern Stochastics: Theory and Applications
Fractional 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.

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Publisher: arxiv

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