Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156759 | Stochastic Processes and their Applications | 2013 | 17 Pages |
Abstract
We give both necessary and sufficient conditions for a random variable to be represented as a pathwise stochastic integral with respect to fractional Brownian motion with an adapted integrand. We also show that any random variable is a value of such integral in an improper sense and that such integral can have any prescribed distribution. We discuss some applications of these results, in particular, to fractional Black–Scholes model of financial market.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Yuliya Mishura, Georgiy Shevchenko, Esko Valkeila,