The quadratic covariation for a weighted fractional Brownian motion

TL;DR

This paper investigates the quadratic covariation of weighted fractional Brownian motion, constructing a function space where this covariation exists and establishing a Bouleau-Yor type identity involving weighted local time.

Contribution

The paper introduces a Banach space of functions ensuring the existence of generalized quadratic covariation for weighted fractional Brownian motion and derives a Bouleau-Yor identity involving weighted local time.

Findings

Existence of generalized quadratic covariation in L^2( Omega)

Derivation of a Bouleau-Yor type identity for weighted fractional Brownian motion

Construction of a suitable Banach space for the covariation

Abstract

Let $B^{a,b}$ be a weighted fractional Brownian motion with indices $a,b$ satisfying $a>-1,-1<b<0,|b|<1+a$. In this paper, motivated by the asymptotic property $$ E[(B^{a,b}_{s+\varepsilon}-B^{a,b}_s)^2] =O(\varepsilon^{1+b})\not\sim \varepsilon^{1+a+b}=E[(B^{a,b}_{\varepsilon})^2]\qquad (\varepsilon\to 0) $$ for all $s>0$, we consider the generalized quadratic covariation $\bigl[f(B^{a,b}),B^{a,b}\bigr]^{(a,b)}$ defined by $$ \bigl[f(B^{a,b}),B^{a,b}\bigr]^{(a,b)}_t=\lim_{\varepsilon\downarrow 0}\frac{1+a+b}{\varepsilon^{1+b}}\int_\varepsilon^{t+\varepsilon} \left\{f(B^{a,b}_{s+\varepsilon}) -f(B^{a,b}_s)\right\}(B^{a,b}_{s+\varepsilon}-B^{a,b}_s)s^{b}ds, $$ provided the limit exists uniformly in probability. We construct a Banach space ${\mathscr H}$ of measurable functions such that the generalized quadratic covariation exists in $L^2(\Omega)$ and the generalized Bouleau-Yor identity $$ [f(B^{a,b}),B^{a,b}]^{(a,b)}_t=-\frac1{(1+b){\mathbb B}(a+1,b+1)} \int_{\mathbb R}f(x){\mathscr L}^{a,b}(dx,t) $$ holds for all $f\in {\mathscr H}$, where ${\mathscr L}^{a,b}(x,t)=\int_0^t\delta(B^{a,b}_s-x)ds^{1+a+b}$ is the weighted local time of $B^{a,b}$ and ${\mathbb B}(\cdot,\cdot)$ is the Beta function.