m order integrals and generalized Ito s formula the case of a fractional Brownian motion with any
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m order integrals and generalized Ito's formula the case of a fractional Brownian motion with any


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m-order integrals and generalized Ito's formula; the case of a fractional Brownian motion with any Hurst index Mihai GRADINARU? ,(1), Ivan NOURDIN(1), Francesco RUSSO(2) and Pierre VALLOIS(1) (1) Universite Henri Poincare, Institut de Mathematiques Elie Cartan, B.P. 239, F - 54506 Vandœuvre-les-Nancy Cedex (2) Universite Paris 13, Institut Galilee, Mathematiques, 99, avenue J.B. Clement, F - 93430 Villetaneuse Cedex Abstract: Given an integer m, a probability measure ? on [0, 1], a process X and a real function g, we define the m-order ?-integral having as integrator X and as integrand g(X). In the case of the fractional Brownian motion BH , for any locally bounded function g, the corresponding integral vanishes for all odd indices m > 12H and any symmetric ?. One consequence is an Ito-Stratonovich type expansion for the fractional Brownian motion with arbitrary Hurst index H ?]0, 1[. On the other hand we show that the classical Ito-Stratonovich formula holds if and only if H > 16 . Key words and phrases: m-order integral, Ito's formula, fractional Brownian motion. 2000 Mathematics Subject Classification: 60H05, 60G15, 60G18.

  • path approach

  • symmetric integral

  • odd indices

  • hurst index

  • has been

  • ?bhs does

  • when ?

  • integral ∫



Publié par
Nombre de lectures 23
Langue English


m-orderintegralasdnegenarilezIdotˆorsflamuhe;t case of a fractional Brownian motion with any Hurst index Mihai GRADINARU,(1),Ivan NOURDIN(1),Francesco RUSSO(2)andPierre VALLOIS(1)
´ (1)Universit´eHenriPoincar´e,InstitutdeMath´ematiquesElieCartan,B.P.239, F - 54506 Vandœuvre-les-Nancy Cedex `
(2)Universite´Paris13,InstitutGalil´ee,Math´ematiques,99,avenueJ.B.Cle´ment, F - 93430 Villetaneuse Cedex
Abstract:Given an integerm, a probability measureνon [0,1], a processXand a real function g, we define them-orderν-integral having as integratorXand as integrandg(X). In the case of the fractional Brownian motionBH, for any locally bounded functiong, the corresponding integral vanishes for all odd indicesm >21Hand any symmetricνnotartS-oˆtInasihicovencesequecon.On type expansion for the fractional Brownian motion with arbitrary Hurst indexH]0,1[. On the other handweshowthattheclassicalItˆo-StratonovichformulaholdsifandonlyifH >61.
Key words and phrases:mn.iootnmianworBlanoitcarf,laI,ˆtofsroumal-orderintegr
2000 Mathematics Subject Classification:60H05, 60G15, 60G18.
Re´sum´e:Un entierm´eobabilituseredrpu,enemνsur [0,1], un processusXleeltcoirne´tenufeno gtdann´onet´tinenuo,see´dnνordaled´egr-intermayantXeturteraegt´emnicmog(X) comme inte´grand.DanslecasdumouvementbrownienfractionnaireBH, on prouve, pour toute fonction lo-calementborn´eegeli,qularge´tnpserroceesntdaonepulnnasinescedirtousloum >21Het pour toutes lesmesuressyme´triquesνdelumrofenutneitobone,ncueeqs´onruhcoponivratoo-SteItˆetyp.oCmmce le mouvement brownien fractionnaire d’indice de Hurst quelconque dans ]0,1[. D’autre part, on montre quelaformuledItˆo-StratonovichestvalidesietseulementsiH >16.
The present paper is devoted tomorderνtni-danItˆoegralsanofnrno-fsroumal semimartingales.ClassicalItoˆsformulaandclassicalcovariationsarefundamentaltoolsof e-mail: Mihai.Gradinaru@iecn.u-nancy.fr
stochastic calculus with respect to semimartingales. Calculus involving integratorsXwhich are not semimartingales has been developed essentially in three directions in the last twenty years:
The case whenXis a Dirichlet process.
The case whenXis a Gaussian process.
The case whenXhas paths withp-variation greater than 2.
The implemented techniques for this purpose have been of different natures: the Dirichlet forms approach, the Malliavin (or white noise) calculus approach through the theory of Sko-rohod integral, the Lyons rough path approach and the discretization-regularization approach. It is impossible to list here all the contributors in previous topics; nevertheless we try to sketch some related short history; a survey with a more complete literature could be found in [15].
1. A Dirichlet process may be seen as a natural generalization of a semimartingale: it is constituted by the sum of a local martingale and a zero quadratic variation (instead of a finite variation) process. Such a process is in particular a finite quadratic variation process. Calculus with respect to Dirichlet processes has been developed within two axes. One uses the Dirichlet forms approach, from which the term Dirichlet process was inspired: a fairly complete monography on the subject can be found in [13]. In this framework one can quote for instance [18, 17, 26]. The second approach uses the discretization of the integrals (see e.g. [11, 12, 7]). A counterpart of this approach is the regularization approach (see e. g. [22, 23, 24, 8, 14, 27, 29]). In particular those authors makeuseoftheforwardintegral,whichisanaturalgeneralizationofItˆointegral,and the symmetric integral, which is a natural extension of Stratonovich integral. For those definitions, we refer to section 2.
2. The Skorohod integral, and more generally the Malliavin calculus (see e.g. [20]), has been revealed to be a good tool for considering Gaussian integrators, and in particular fractional Brownian motion. For illustration we quote [6, 1] and [21] for the case ofX being itself a Skorohod integral.
3. The rough path approach has been performed by T. Lyons [16], and continued by several authors; among them, [5] has adapted this technique to the the study of SDEs driven by fractional Brownian motion. The regularization approach has been recently continued by [9, 15] to analyze calculus with respect to integrands whosen-variation is greater than 2, developing the notion of n-covariation. In particular, [9] introduces the notion of 3-variation (or cubic variation) of a process, denoted by [X, X, X].
We come back now to the main application of this paper, that is fractional Brownian motion. This process, which in general is not a semimartingale, has been studied intensively in stochas-tic analysis and it is considered in many applications, e.g. in hydrology, telecommunications, fluidodynamics, economics and finance.
Recall that a mean zero Gaussian processX=BHis a fractional Brownian motion with Hurst indexH]0,1[ if its covariance function is given by KH(s, t=1)(2|s|2H+|t|2H− |st|2H),(s, t)R2.(1.1) An easy consequence of that property is that E(BtHBsH)2=|ts|2H.(1.2) WhenH=21,BHis the classical Brownian motion. It is well-known thatBHis a semi-martingale if and only ifH=12 the other hand, if. OnH >12,BHis a zero quadratic 1 variation process, therefore (trivially) also a Dirichlet process. As we said, ifH2,BHis anitequadraticvariationprocess,thereforeanItˆosformulainvolvingsymmetricintegrals holds, and it can be deduced from [23, 11]. Iffis of class C2, we have f(BtH) =f(B0H) +Z0tf0(BsH)dBsH.(1.3) IfH >21, [BH, BH] vanishes and the symmetric integralR0tf0(BsH)dBsHcoincides with the forward integralR0tf0(BsH)dBsH. Settingf(x) =x2(1.3) says that , (BtH)2= (B0HZ0tBsHdBsH.(1.4) )2+ 2 IfH <21the forward integralR0tBsHdBsH In fact,does not exist, but (1.4) is still valid. using the identity 2 (BsH+ε () =BsH)2+ 2BsH+ε2+BsH(BsH+εBsH),(1.5) integrating from zero totboth members of the equality, dividing byεand using the definition of symmetric integral, we can immediately see that (1.4) holds for any 0< H <1. The natural question which arises is the following: is (1.3) valid for any 0< H <1? The In answer is no. reality, takingf(x) =x3, similarly to (1.5), we can expand as follows H s)2H(Bs+εBsH)3 (BsH+ε)3= (BsH)3+ 3 (BsH+ε)22+(BH(Bs+εBsH)2 . Proceeding as before, (BtH)3could be expanded as H (BtH)3= (B0H)3+ 3Z0t(BsH)2dBsH[B , BH, BH]t; (1.6) 2 moreover previous symmetric integral will exist if and only if [BH, BH, BH] exists. In reality, that object exists if and only ifH >61: in that case the mentioned cubic variation even vanishes. This point comes out as a consequence of Theorem 4.1 2. when
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