An anticipating stochastic integral with respect to mixed fractional Brownian motion
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.
Authors
- Amel Belhadj
- Amina Angelika Bouchentouf (ORCID: https://orcid.org/0000-0001-8972-4221)
- Abdeldjebbar Kandouci (ORCID: https://orcid.org/0000-0001-7764-0514)
Institutions
- Université Djilali de Sidi Bel Abbès (DZ)
- Université de Saida Dr.Moulay Tahar (DZ)
- Mouloud Mammeri University of Tizi-Ouzou (DZ)
Publication Details
- Journal
- Acta Universitatis Sapientiae Mathematica
- Published
- 2025-02-28
- DOI
- https://doi.org/10.47745/ausm-2024-0016
- Primary Topic
- Stochastic processes and financial applications
- Type
- article
- Field-Weighted Citation Impact
- 0.00
Funders
- Agence Thématique de Recherche en Science et Technologie