The derivative of the drift in the mixed fractional Brownian motion is γ-Hölder continuous for every γ < 2H - 3/2 when H > 3/4.
Arbitrage in fractional Brownian motion models.Finance Stoch., 7(4):533– 553
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How smooth is the drift of the mixed fractional Brownian motion?
The derivative of the drift in the mixed fractional Brownian motion is γ-Hölder continuous for every γ < 2H - 3/2 when H > 3/4.