Random variables as pathwise integrals with respect to fractional Brownian motion

preprint2012arXivOpen access

Abstract

We show that a pathwise stochastic integral with respect to fractional Brownian motion with an adapted integrand gg can have any prescribed distribution, moreover, we give both necessary and sufficient conditions when random variables can be represented in this form. We also prove that any random variable is a value of such integral in some improper sense. We discuss some applications of these results, in particular, to fractional Black--Scholes model of financial market.

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