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arxiv: 1509.03894 · v2 · pith:OV2JREB2new · submitted 2015-09-13 · 🧮 math.PR

Integral representation with respect to fractional Brownian motion under a log-H\"{o}lder assumption

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keywords fractionalintegraladaptedbrownianlderlog-hmotionrepresentation
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We show that if a random variable is the final value of an adapted log-H\"{o}lder 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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