2017
Том 69
№ 9

All Issues

Differentiability of Fractional Integrals Whose Kernels Contain Fractional Brownian Motions

Krvavich Yu. V., Mishura Yu. S.

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Abstract

We prove the stochastic Fubini theorem for Wiener integrals with respect to fractional Brownian motions. By using this theorem, we establish conditions for the mean-square and pathwise differentiability of fractional integrals whose kernels contain fractional Brownian motions.

English version (Springer): Ukrainian Mathematical Journal 53 (2001), no. 1, pp 35-47.

Citation Example: Krvavich Yu. V., Mishura Yu. S. Differentiability of Fractional Integrals Whose Kernels Contain Fractional Brownian Motions // Ukr. Mat. Zh. - 2001. - 53, № 1. - pp. 30-40.

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