Time reversal for drifted fractional Brownian motion with Hurst index H>1/2
Résumé
Let X be a drifted fractional Brownian motion with Hurst index H > 1/2. We prove that there exists a fractional backward representation of X, i.e. the time reversed process is a drifted fractional Brownian motion, which continuously extends the one obtained in the theory of time reversal of Brownian diffusions when H = 1/2. We then apply our result to stochastic differential equations driven by a fractional Brownian motion.
Domaines
Probabilités [math.PR]Origine | Fichiers éditeurs autorisés sur une archive ouverte |
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