| Stochastic derivatives for fractional diffusions (2006) | |||||||||||||||||
Abstract | |||||||||||||||||
| In this paper, we introduce some fundamental notions related to the so-called stochastic derivatives with respect to a given sigma-field Q. In our framework, we recall well known results about Markov Wiener diffusions. We afterwards mainly focus on the case where X is a fractional diffusion and where Q is the past, the future or the present of X. We treat some crucial examples and our main result is the existence of stochastic derivatives with respect to the present of X when X solves a stochastic differential equation driven by a fractional Brownian motion with Hurst index H>1/2. We give explicit formulas. | |||||||||||||||||
Publication details | |||||||||||||||||
| |||||||||||||||||