Stratonovich Calculus with Respect to Fractional Brownian Sheet

Abstract

We introduce two types of Stratonovich stochastic integrals for two-parameter process. The relationship of Stratonovich integrals to Skorohod integrals will be investigated. By using this relationship, we prove that a differentiation formula for fractional Brownian sheet in Stratonovich form can be expressed as the sum of Stratonovich integrals of two types introduced in this article.     

On Double Stratonovich Fractional Integrals and Some Strong and Weak Approximations

Abstract

Double Stratonovich integrals with respect to the odd part and even part of the fractional Brownian motion are constructed. The first and the second moments of such integrals are explicitly identified. As application of double Stratonovich integrals a strong law of large numbers for efBm and ofBm is derived.

Riemann–Stieltjes integral approximations to double Stratonovich fractional integrals are also considered. The strong convergence (almost surely and mean square) is obtained for approximations based on explicit series expansions of the fractional Brownian processes. The weak convergence is derived for approximations by processes with absolutely continuous paths which converge weakly to the considered fractional Brownian processes. The above-mentioned convergences are obtained for deterministic integrands which are given by bimeasures.     

An Itô Formula of Generalized Functionals and Local Time for Fractional Brownian Sheet

Abstract

By using the white noise theory for a fractional Brownian sheet, we derive an Itô formula for the generalized functionals for the fractional Brownian sheet with arbitrary Hurst parameters H ₁, H ₂ ∈ (0,1). As an application, we give the integral representations for two versions of local times of a fractional Brownian sheet, respectively.     

A strong approximation for double subfractional integrals

A Riemann–Stieltjes integral strong approximation to double Stratonovich integrals with respect to odd and even fractional Brownian motions is considered. We prove the convergence in quadratic mean, uniformly on compact time intervals, of the ordinary double integral process obtained by linear interpolation of the odd and even fractional Brownian motions, to the double Stratonovich integral. The deterministic integrands are continuous or are given by bimeasures.     

Fractional Brownian Motion and Sheet as White Noise Functionals

In this short note, we show that it is more natural to look the fractional Brownian motion as functionals of the standard white noises, and the fractional white noise calculus developed by Hu and Фksendal follows directly from the classical white noise functional calculus. As examples we prove that the fractional Girsanov formula, the Ito type integrals and the fractional Black-Scholes formula are easy consequences of their classical counterparts. An extension to the fractional Brownian sheet is also briefly discussed.     

On a Multiple Stratonovich-type Integral for Some Gaussian Processes

We construct a multiple Stratonovich-type integral with respect to Gaussian processes with covariance function of bounded variation. This construction is based on the previous definition of the multiple Itô-type integral given by Huang and Cambanis [Ann. Propab. 6(4), 585–614] and on a Hu–Meyer formula (that is, an expression of the multiple Stratonovich integral as a sum of Itô-type integrals of inferior or equal order) for the elementary functions. We also apply our results to the fractional Brownian motion with Hurst parameter $H > \frac{1}{2}We construct a multiple Stratonovich-type integral with respect to Gaussian processes with covariance function of bounded variation. This construction is based on the previous definition of the multiple It?-type integral given by Huang and Cambanis [Ann. Propab. 6(4), 585–614] and on a Hu–Meyer formula (that is, an expression of the multiple Stratonovich integral as a sum of It?-type integrals of inferior or equal order) for the elementary functions. We also apply our results to the fractional Brownian motion with Hurst parameter .     

Approximation of stochastic equations driven by predictable processes

Summary A theory of stochastic differential equations driven by predictable processes in Stratonovich sense is developed. These driving processes include a large class of discontinuous semimartingales. The theory of stochastic differential equations driven by continuous semimartingales in Stratonovich sense is extended without involving Lebesgue-Stieltjes integrals as done by Meyer. Moreover, a change of variables formula without extra terms involving the jumps of the processes holds for this theory. Results on approximation of driving processes are preserved.Research partially supported by the Institute for Mathematics and its Applications at the University of Minnesota, Minneapolis, USA; by the AFOSR under contract #AFOSR-85-0315, the ARO under contract #DAAG 29-84-K-0082, and #DAAL 03-86-K-0171.     

Approximation of Multiple Stratonovich Fractional Integrals

Abstract

We study multiple Riemann-Stieltjes integral approximations to multiple Stratonovich fractional integrals. Two standard approximations (Wong-Zakai and Mollifier approximations) are considered and we show the convergence in the mean square sense and uniformly on compact time intervals of these approximations to the multiple Stratonovich fractional integral.     

On a ogawa–type integral with application to the fractional brownian motion

We construct a deterministic Ogawa–type integral with respect to a continuous function that, in particular, can be a trajectory of the Fractional Brownian motion. This integral is related with the Stratonovich integral and with the integrals introduced by Ciesielski et altri and Zähle. We give a sufficient condition for the integrability of a function in this sense, that does not imply its continuity. Under this sufficient condition, we obtain a Besov regularity property of the indefinite integral. We also study the stochastic Ogawa integral for stochastic processes when integrate with respect to the Fractional Brownian motion of Hurst parameter H ∈ (1/2, 1)     

Stochastic heat equation driven by fractional noise and local time

The aim of this paper is to study the d-dimensional stochastic heat equation with a multiplicative Gaussian noise which is white in space and has the covariance of a fractional Brownian motion with Hurst parameter H ∈ (0,1) in time. Two types of equations are considered. First we consider the equation in the Itô-Skorohod sense, and later in the Stratonovich sense. An explicit chaos expansion for the solution is obtained. On the other hand, the moments of the solution are expressed in terms of the exponential moments of some weighted intersection local time of the Brownian motion.     

Wick-Itô Formula for Gaussian Processes

Abstract

A Wick-Itô formula for Gaussian processes is obtained. This is a change of variables formula, which is to Wick-Itô integrals what the usual Itô formula is to Itô integrals. The conditions are weak enough to allow processes with infinite quadratic variation. They are satisfied by fractional Brownian motion with parameter 1/4 < H < 1.     

Wick–Itô formula for regular processes and applications to the Black and Scholes formula

We derive a Wick–Itô formula, that is, an Itô-type formula based on Wick integration. We derive it in the context of regular Gaussian processes which include Brownian motion and fractional Brownian motion with Hurst parameter greater than 1/2. We then consider applications to the Black and Scholes formula for the pricing of a European call option. It has been shown that using Wick integration in this context is problematic for economic reasons. We show that it is also problematic for mathematical reasons because the resulting Black and Scholes formula depends only on the variance of the process and not on its dependence structure.     

An Itô formula for a fractional Brownian sheet with arbitrary Hurst parameters

By using the white noise theory for a fractional Brownian sheet, we derive an Itô formula for the fractional Brownian sheet with arbitrary Hurst parameters .

     

分数布朗单的幂函数随机积分逼近

本文研究了分数布朗单的逼近问题.利用Wiener积分,得到了分数布朗单的幂函数型随机积分逼近.     

Regularity of local times of random fields

In this paper, we study the fractional smoothness of local times of general processes starting from the occupation time formula, and obtain the quasi-sure existence of local times in the sense of the Malliavin calculus. This general result is then applied to the local times of N-parameter d-dimensional Brownian motions, fractional Brownian motions and the self-intersection local time of the 2-dimensional Brownian motion, as well as smooth semimartingales.     

Weak convergence to the fractional Brownian sheet in Besov spaces

In this paper we study the problem of the approximation in law of the fractional Brownian sheet in the topology of the anisotropic Besov spaces. We prove the convergence in law of two families of processes to the fractional Brownian sheet: the first family is constructed from a Poisson procces in the plane and the second family is defined by the partial sums of two sequences of real independent fractional brownian motions.     

FRACTIONAL 2D-STOCHASTIC CURRENTS

Using multiple stochastic integrals and the stochastic calculus for the frac-tional Brownian sheet, we define and we analyze the 2D-fractional stochastic currents.     

An Isometric Approach to Generalized Stochastic Integrals

The possibility to extend the classical Ito's construction of stochastic integrals is studied. This construction can be applied to fractional Brownian motions with Hurst index H(0, 1/2). A change of variables formula for fractional Brownian motions in terms of the stochastic integrals is given.     

多重分数Stratonovich积分的另一种构造(英文)

本文研究了当Hurst参数日小于1/2时关于分数布朗运动的随机积分问题.利用分数布朗运动的性质和卷积逼近的方法,获得了多重分数Stratonovich积分的另一种构造.     

Representations of the optimal filter in the context of nonlinear filtering of random fields with fractional noise

The problem of nonlinear filtering of multiparameter random fields, observed in the presence of a long-range dependent spatial noise, is considered. When the observation noise is modelled by a persistent fractional Wiener sheet, several pathwise representations of the optimal filter are derived. The representations involve series of multiple stochastic integrals of different types and are particularly important since the evolution equations, satisfied by the best mean-square estimate of the signal random field, have a complicated analytical structure and fail to be proper (measure-valued) stochastic partial differential equations. Several of the above optimal filter representations involve a new family of strong martingale transforms associated to the multiparameter fractional Brownian sheet; the latter martingale family is of independent interest in fractional stochastic calculus of multiparameter random fields.