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تسجيل مستخدم جديدOn the $frac{1}{H}$-variation of the divergence integral with respect to fractional Brownian motion with Hurst parameter $H < 1/2$
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In this paper, we study the $frac{1}{H}$-variation of stochastic divergence integrals $X_t = int_0^t u_s {delta}B_s$ with respect to a fractional Brownian motion $B$ with Hurst parameter $H < frac{1}{2}$. Under suitable assumptions on the process u, we prove that the $frac{1}{H}$-variation of $X$ exists in $L^1({Omega})$ and is equal to $e_H int_0^T|u_s|^H ds$, where $e_H = mathbb{E}|B_1|^H$. In the second part of the paper, we establish an integral representation for the fractional Bessel Process $|B_t|$, where $B_t$ is a $d$-dimensional fractional Brownian motion with Hurst parameter $H < frac{1}{2}$. Using a multidimensional version of the result on the $frac{1}{H}$-variation of divergence integrals, we prove that if $2dH^2 > 1$, then the divergence integral in the integral representation of the fractional Bessel process has a $frac{1}{H}$-variation equals to a multiple of the Lebesgue measure.
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