A change of variable formula for the 2D fractional Brownian motion of Hurst index bigger or equal to 1/4 - Archive ouverte HAL Access content directly
Preprints, Working Papers, ... Year : 2008

A change of variable formula for the 2D fractional Brownian motion of Hurst index bigger or equal to 1/4

Abstract

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.
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Dates and versions

hal-00287990 , version 1 (13-06-2008)
hal-00287990 , version 2 (03-10-2008)

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Ivan Nourdin. A change of variable formula for the 2D fractional Brownian motion of Hurst index bigger or equal to 1/4. 2008. ⟨hal-00287990v2⟩
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