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arxiv: 1212.6347 · v1 · pith:MAXNDGC4new · submitted 2012-12-27 · 🧮 math.PR · math.FA

The Bouleau-Yor identity for a bi-fractional Brownian motion

classification 🧮 math.PR math.FA
keywords mathscrbi-fractionalbouleau-yorbrownianidentitymathbbmotionbanach
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Let $B$ be a bi-fractional Brownian motion with indices $H\in (0,1),K\in (0,1]$, $2HK=1$ and let ${\mathscr L}(x,t)$ be its local time process. We construct a Banach space ${\mathscr H}$ of measurable functions such that the quadratic covariation $[f(B),B]$ and the integral $\int_{\mathbb R}f(x){\mathscr L}(dx,t)$ exist provided $f\in {\mathscr H}$. Moreover, the Bouleau-Yor identity $$ [f(B),B]_t=-2^{1-K}\int_{\mathbb R}f(x){\mathscr L}(dx,t),\qquad t\geq 0, $$ holds for all $f\in {\mathscr H}$.

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