Differentiability of Fractional Integrals Whose Kernels Contain Fractional Brownian Motions

  • Yu. V. Krvavich
  • Yu. S. Mishura Київ. нац. ун-т iм. Т. Шевченка

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.
Published
25.01.2001
How to Cite
KrvavichY. V., and MishuraY. S. “Differentiability of Fractional Integrals Whose Kernels Contain Fractional Brownian Motions”. Ukrains’kyi Matematychnyi Zhurnal, Vol. 53, no. 1, Jan. 2001, pp. 30-40, https://umj.imath.kiev.ua/index.php/umj/article/view/4218.
Section
Research articles