Forward and symmetric Wick-Itô integrals with respect to fractional Brownian motion

Abstract

Let B^H=\{{{\displaystyle B}}_t^H,t\ge \mathrm{0}\} be a fractional Brownian motion with Hurst index H\in (\mathrm{0},\mathrm{1}). Inspired by pathwise integrals and Wick product, in this paper, we consider the forward and symmetric Wick-Itô integrals with respect to B^H as follows:

{\displaystyle {\int }_{\mathrm{0}}^t{{\displaystyle u}}_s}\diamond {\mathrm{d}}^{-}{{\displaystyle B}}_s^H=\underset{\epsilon \downarrow \mathrm{0}}{\lim }{\displaystyle \frac{\mathrm{1}}{\epsilon }}{\displaystyle {\int }_{\mathrm{0}}^t{{\displaystyle u}}_s}\diamond ({{\displaystyle B}}_{s+\epsilon }^H-{{\displaystyle B}}_s^H)\mathrm{d}s,

{\displaystyle {\int }_{\mathrm{0}}^t{{\displaystyle u}}_s}\diamond {\mathrm{d}}^{°}{{\displaystyle B}}_s^H=\underset{\epsilon \downarrow \mathrm{0}}{\lim }{\displaystyle \frac{\mathrm{1}}{\mathrm{2}\epsilon }}{\displaystyle {\int }_{\mathrm{0}}^t{{\displaystyle u}}_s}\diamond ({{\displaystyle B}}_{s+\epsilon }^H-{{\displaystyle B}}_{(s-\epsilon )\vee \mathrm{0}}^H)\mathrm{d}s,

in probability, where ◊ denotes the Wick product. We show that the two integrals coincide with divergence-type integral of B^H for all H\in (\mathrm{0},\mathrm{1}).

Keywords

Fractional Brownian motion (fBm) / forward integral / Malliavin calculus / Wick product

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