The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2

Let $B^H$ be a fractional Brownian motion with Hurst index $0<H<1/2$. In this paper we study the {\it generalized quadratic covariation} $[f(B^H),B^H]^{(W)}$ defined by $[f(B^H),B^H]^{(W)}_t=\lim_{ε\downarrow 0}\frac{2H}{ε^{2H}}\int_0^t\{f(B^{H}_{s+ε})-f(B^{H}_s)\}(B^{H}_{s+ε}- B^{H}_s)s^{2H-1}ds,$ where the limit is uniform in probability and $x\mapsto f(x)$ is a deterministic function. We construct a Banach space ${\mathscr H}$ of measurable functions such that the generalized quadratic covariation exists in $L^2$ and the Bouleau-Yor identity takes the form $[f(B^H),B^H]_t^{(W)}=-\int_{\mathbb {R}}f(x){\mathscr L}^{H}(dx,t)$ provided $f\in {\mathscr H}$, where ${\mathscr L}^{H}(x,t)$ is the weighted local time of $B^H$. This allows us to write the fractional Itô formula for absolutely continuous functions with derivative belonging to ${\mathscr H}$. These are also extended to the time-dependent case.

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