Work

An anticipating stochastic integral with respect to mixed fractional Brownian motion

Year: 2025

Type: article

Abstract: In this paper, we define a stochastic integral of an anticipating integrand based on Ayed and Kuo’s approach [1]. This provides a new concept of stochastic integration of non-adapted processes. In addition, under some conditions, we prove that our anticipating integral is a near-martingale. Furthermore, we deal with some particular cases when the Hurst parameter H > 3/4.

Source: Acta Universitatis Sapientiae Mathematica

DOI: 10.47745/ausm-2024-0016

Authors: Amel Belhadj, Abdeldjebbar Kandouci, Amina Angelika Bouchentouf

Institutions: Université de Saida Dr Moulay Tahar, Mouloud Mammeri University of Tizi-Ouzou, Université Djilali de Sidi Bel Abbès

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $3,390

Funder: Agence Thématique de Recherche en Science et Technologie