Covariance of Stochastic Integrals with Respect to Fractional Brownian Motion

Details Covariance of Stochastic Integrals with Respect to Fractional Brownian Motion Covariance of Stochastic Integrals with Respect to Fractional Brownian Motion

2010-08-15

arxiv.org/abs/1008.2500v1

Mathematics

Probability

16 pages

Scientific paper

An explicit expression is provided for the cross-covariance between certain
stochastic integral processes with respect to fractional Brownian motion (fBm)
with Hurst parameter H>1/2, where the integrands are point functions of the fBm
itself satisfying some mild conditions (which do not even imply continuity).

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