A change of variable formula for the 2D fractional Brownian motion of Hurst index bigger or equal to 1/4
Abstract
Description
We prove a change of variable formula for the 2D fractional Brownian motion of index H bigger of equal to 1/4. For H strictly bigger than 1/4, our formula coincides with that obtained by using the rough paths theory. For H=1/4 (the more interesting case), there is an additional term that is a classical Wiener integral against an independent standard Brownian motion.
16 pages; to appear in Journal of Functional Analysis
16 pages; to appear in Journal of Functional Analysis