Besov Regularity of Stochastic Integrals with Respect to the Fractional Brownian Motion with Parameter H > 1/2

David Nualart () and Youssef Ouknine
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David Nualart: Universitat de Barcelona
Youssef Ouknine: Université Cadi Ayyad

Journal of Theoretical Probability, 2003, vol. 16, issue 2, 451-470

Abstract: Abstract Let {B t ,t∈[0,1]} be a fractional Brownian motion with Hurst parameter H > 1/2. Using the techniques of the Malliavin calculus we show that the trajectories of the indefinite divergence integral ∫ t 0 u s δB s belong to the Besov space ℬ p,q α for all $$q \geqslant 1,\frac{1}{p}

Keywords: fractional Brownian motion; stochastic integrals; Malliavin calculus (search for similar items in EconPapers)
Date: 2003
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DOI: 10.1023/A:1023530929480

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