2021 / June Volume 16 No.2
Stochastic Integral for Non-Adapted Processes Related to Sub-Fractional Brownian Motion when $H>1/2$
Published Date |
2021 / June
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Title | Stochastic Integral for Non-Adapted Processes Related to Sub-Fractional Brownian Motion when $H>1/2$ |
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Pagination | 165-176 |
Abstract | In this paper, we define the stochastic integral of an anticipating integrand, which is a product of instantly independent process and adapted process, with respect to sub-fractional Brownian motion based on Ayed and Kuo's approach. This provides a new concept of stochastic integration of non-adapted process. Further, we prove that our anticipating integral is a near-martingale under some conditions.
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DOI | |
AMS Subject Classification |
60H05, 60G15.
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Received |
2021-05-06
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Accepted |
2021-06-27
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