A New Approach to Stochastic Integration with Respect to Fractional Brownian Motion for No Adapted Processes
by Bachir Cherif Khalida   Kandouci Abdeldjebbar  

Vol. 16 No. 4 (2021) P.321~P.337

DOI:	https://doi.org/10.21915/BIMAS.2021403
	10.21915/BIMAS.2021403

ABSTRACT

In this paper, we propose a new approach to stochastic integration of the class of instantly independent stochastic processes with respect to fractional Brownian motion on a finite interval. The appraisal point is to discover the counterpart of the Ito theory. More precisely, we show some result on stochastic integration with respect to no adapted processes by generalizing the results obtained by Ayed and Kuo [5] in the Brownian framework.

KEYWORDS
Fractional Brownian motion, Levy-Hida representation, stochastic integration, Gaussian measure, Instantly independent processes

MATHEMATICAL SUBJECT CLASSIFICATION 2010
Primary: 60G15

MILESTONES

Received: 2021-06-30
Revised :
Accepted: 2021-12-18

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