Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
Pipiras, Vladas ; Taqqu, Murad S.
Bernoulli, Tome 7 (2001) no. 6, p. 873-897 / Harvested from Project Euclid
Let BH be a fractional Brownian motion with self-similarity parameter H∈ (0,1) and a>0 be a fixed real number. Consider the integral ∈t0a f(u)\rm dBH(u), where f belongs to a class of non-random integrands ΛH,a. The integral will then be defined in the L2(Ω) sense. One would like ΛH,a to be a complete inner-product space. This corresponds to a desirable situation because then there is an isometry between ΛH,a and the closure of the span generated by BH(u), 0≤ u≤ a. We show in this work that, when H∈(½,1), the classes of integrands ΛH,a one usually considers are not complete inner-product spaces even though they are often assumed in the literature to be complete. Thus, they are isometric not to øverline{\mbox{sp}}\{BH(u), 0≤ u≤ a\} but only to a proper subspace. Consequently, there are (random) elements in that closure which cannot be represented by functions f in ΛH,a. We also show, in contrast to the case H∈ (½,1), that there is a class of integrands for fractional Brownian motion BH with H∈ (0,½) on an interval [0,a] which is a complete inner-product space.
Publié le : 2001-12-14
Classification:  completeness,  fractional Brownian motion,  fractional integrals and derivatives,  inner-product spaces,  integration in the L ²sense
@article{1078951127,
     author = {Pipiras, Vladas and Taqqu, Murad S.},
     title = {Are classes of deterministic integrands for fractional Brownian motion on an interval complete?},
     journal = {Bernoulli},
     volume = {7},
     number = {6},
     year = {2001},
     pages = { 873-897},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1078951127}
}
Pipiras, Vladas; Taqqu, Murad S. Are classes of deterministic integrands for fractional Brownian motion on an interval complete?. Bernoulli, Tome 7 (2001) no. 6, pp.  873-897. http://gdmltest.u-ga.fr/item/1078951127/
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