A new proof of fractional Hu-Meyer formula and its applications

Baobin Wang; Ting Hu

doi:10.1186/1029-242X-2012-272

A new proof of fractional Hu-Meyer formula and its applications

Baobin Wang
, Ting Hu

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

This paper is concerned with the Hu-Meyer formula for fractional Brownian motion with the Hurst parameter less than 1/2. By the mollifier approximation, the Hu-Meyer formula is explicitly obtained based on the multiple Stratonovich integral, and the proof is different from the known methods. Moreover, the obtained Hu-Meyer formula can be applied to derive the convergence rate of the multiple fractional Stratonovich integral.

Original language	English
Article number	272
Journal	Journal of Inequalities and Applications
Volume	2012
DOIs	https://doi.org/10.1186/1029-242X-2012-272
State	Published - Nov 2012
Externally published	Yes

Keywords

Fractional Brownian motion
Hu-Meyer formula
Mollifier approximation
Stratonovich integral

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10.1186/1029-242X-2012-272

Cite this

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abstract = "This paper is concerned with the Hu-Meyer formula for fractional Brownian motion with the Hurst parameter less than 1/2. By the mollifier approximation, the Hu-Meyer formula is explicitly obtained based on the multiple Stratonovich integral, and the proof is different from the known methods. Moreover, the obtained Hu-Meyer formula can be applied to derive the convergence rate of the multiple fractional Stratonovich integral.",

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AB - This paper is concerned with the Hu-Meyer formula for fractional Brownian motion with the Hurst parameter less than 1/2. By the mollifier approximation, the Hu-Meyer formula is explicitly obtained based on the multiple Stratonovich integral, and the proof is different from the known methods. Moreover, the obtained Hu-Meyer formula can be applied to derive the convergence rate of the multiple fractional Stratonovich integral.

KW - Fractional Brownian motion

KW - Hu-Meyer formula

KW - Mollifier approximation

KW - Stratonovich integral

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VL - 2012

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ER -

A new proof of fractional Hu-Meyer formula and its applications

Abstract

Keywords

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