Integral representation with respect to fractional Brownian motion under a log-Hölder assumption

preprint2015arXivOpen access

Abstract

We show that if a random variable is the final value of an adapted log-Hölder continuous process, then it can be represented as a stochastic integral with respect to a fractional Brownian motion with adapted integrand. In order to establish this representation result, we extend the definition of the fractional integral.

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