Journal article

Integral Representation With Adapted Continuous Integrand With Respect To Fractional Brownian Motion

Year:

2014

Published in:

Stochastic Analysis and Applications

Authors:

,

Fractional Brownian motion

Pathwise integral

Generalized Lebesgue-Stieltjes integral

Integral representation.

We show that if a random variable is a final value of an adapted Hölder continuous process, then it can be represented as a stochastic integral with respect to fractional Brownian motion, and the integrand is an adapted process, continuous up to the final point.

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