On a ogawa–type integral with application to the fractional brownian motion
作者:
Rosario Delgado,
Maria Jolis,
期刊:
Stochastic Analysis and Applications
(Taylor Available online 2000)
卷期:
Volume 18,
issue 4
页码: 617-634
ISSN:0736-2994
年代: 2000
DOI:10.1080/07362990008809688
出版商: Marcel Dekker, Inc.
数据来源: Taylor
摘要:
We construct a deterministic Ogawa–type integral with respect to a continuous function that, in particular, can be a trajectory of the Fractional Brownian motion. This integral is related with the Stratonovich integral and with the integrals introduced by Ciesielski et altri and Zähle. We give a sufficient condition for the integrability of a function in this sense, that does not imply its continuity. Under this sufficient condition, we obtain a Besov regularity property of the indefinite integral. We also study the stochastic Ogawa integral for stochastic processes when integrate with respect to the Fractional Brownian motion of Hurst parameter H ∈ (1/2, 1)
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