A construction of a Stratonovich type integral for fractional Brownian motion
I'm studying this article https://projecteuclid.org/download/pdf_1/euclid.twjm/1500574954 and I'm having problems understanding the proof of lemma 3.
Let me recall some of the criminals involved. Let $(u_t)_{t in [0,T]}$ be a simple bounded process of the form
$$
u = sum_{j = 0}^{n-1} F_j 1_{(t_s, t_{j+1}]},
$$
let us define
$$
u^epsilon_t = frac{1}{2 epsilon}int_{t - epsilon}^{t+epsilon} u_r dr.
$$
Let us define the seminorm
$$
lvert| phi |rvert_K^2 = int_0^T phi(s)^2 K(T,s)^2 ds + int_0^T left(int_s^T left | phi(t) - phi(s) right | (t-s)^{H - frac{3}{2}} dt right)^2 ds
$$
where $K$ satisfies
$$ left | K(t,s) right | leq c((t-s)^{H - frac{1}{2}} + s^{H - frac{1}{2}}) $$ and
$$left | frac{partial K}{partial t} (t,s) right | leq c (t-s)^{H - frac{3}{2}}$$
where $H < frac{1}{2}$. Let $mathcal{H}_K$ be the completion of the set of step functions with respect to the norm defined above. Then at page 614 it is stated that $u_t^epsilon$ converges to $u$ in $mathbb{D}^{1,2}(mathcal{H}_K)$. The key step that I'm missing is the integral estimate done at page 615, in fact I obtain and estimate that also involves the integral:
$$
int_{t_i + 2 epsilon}^{t_{i+1} - 2 epsilon} left( int_{s}^{t_i + 2 epsilon} left| u_t^epsilon - u_s^epsilon right | (t-s)^{H - frac{3}{2}} dt right)^2 ds
$$
and I am not able to state that this integral converges to zero. Any suggestions?
probability-theory measure-theory stochastic-calculus stochastic-analysis malliavin-calculus
asked Dec 8 at 17:09
JCF
219112
add a comment |
I'm studying this article https://projecteuclid.org/download/pdf_1/euclid.twjm/1500574954 and I'm having problems understanding the proof of lemma 3.
Let me recall some of the criminals involved. Let $(u_t)_{t in [0,T]}$ be a simple bounded process of the form
$$
u = sum_{j = 0}^{n-1} F_j 1_{(t_s, t_{j+1}]},
$$
let us define
$$
u^epsilon_t = frac{1}{2 epsilon}int_{t - epsilon}^{t+epsilon} u_r dr.
$$
Let us define the seminorm
$$
lvert| phi |rvert_K^2 = int_0^T phi(s)^2 K(T,s)^2 ds + int_0^T left(int_s^T left | phi(t) - phi(s) right | (t-s)^{H - frac{3}{2}} dt right)^2 ds
$$
where $K$ satisfies
$$ left | K(t,s) right | leq c((t-s)^{H - frac{1}{2}} + s^{H - frac{1}{2}}) $$ and
$$left | frac{partial K}{partial t} (t,s) right | leq c (t-s)^{H - frac{3}{2}}$$
where $H < frac{1}{2}$. Let $mathcal{H}_K$ be the completion of the set of step functions with respect to the norm defined above. Then at page 614 it is stated that $u_t^epsilon$ converges to $u$ in $mathbb{D}^{1,2}(mathcal{H}_K)$. The key step that I'm missing is the integral estimate done at page 615, in fact I obtain and estimate that also involves the integral:
$$
int_{t_i + 2 epsilon}^{t_{i+1} - 2 epsilon} left( int_{s}^{t_i + 2 epsilon} left| u_t^epsilon - u_s^epsilon right | (t-s)^{H - frac{3}{2}} dt right)^2 ds
$$
and I am not able to state that this integral converges to zero. Any suggestions?
probability-theory measure-theory stochastic-calculus stochastic-analysis malliavin-calculus
asked Dec 8 at 17:09
JCF
219112
Regarding the last integral, don't we have $|u_t^epsilon-u_s^epsilon|=0$ for $s,tin(t_i+2epsilon,t_{i+1}-2epsilon)$?
– AddSup
Dec 9 at 12:11
Yes, that is true. Anyway in the integral $int_s^{t_i + 2 epsilon} dots$, $s$ belongs to $[0, t_i + 2 epsilon]$ and that shall not be null.
– JCF
Dec 9 at 15:29
I meant $t$ not $s$.
– JCF
Dec 9 at 15:40
? In the inner integral, $t$ lies between $s$ and $t_i+2epsilon$ while $s$ lies between $t_i+2epsilon$ and $t_{i+1}-2epsilon$, so $t$, too, lies between $t_i+2epsilon$ and $t_{i+1}-2epsilon$. Where does $0$ in $[0,t_i+2epsilon]$ come from?
– AddSup
Dec 9 at 16:54
You're right, stupidly I didn't notice it.
– JCF
Dec 9 at 17:48
add a comment |
I'm studying this article https://projecteuclid.org/download/pdf_1/euclid.twjm/1500574954 and I'm having problems understanding the proof of lemma 3.
Let me recall some of the criminals involved. Let $(u_t)_{t in [0,T]}$ be a simple bounded process of the form
$$
u = sum_{j = 0}^{n-1} F_j 1_{(t_s, t_{j+1}]},
$$
let us define
$$
u^epsilon_t = frac{1}{2 epsilon}int_{t - epsilon}^{t+epsilon} u_r dr.
$$
Let us define the seminorm
$$
lvert| phi |rvert_K^2 = int_0^T phi(s)^2 K(T,s)^2 ds + int_0^T left(int_s^T left | phi(t) - phi(s) right | (t-s)^{H - frac{3}{2}} dt right)^2 ds
$$
where $K$ satisfies
$$ left | K(t,s) right | leq c((t-s)^{H - frac{1}{2}} + s^{H - frac{1}{2}}) $$ and
$$left | frac{partial K}{partial t} (t,s) right | leq c (t-s)^{H - frac{3}{2}}$$
where $H < frac{1}{2}$. Let $mathcal{H}_K$ be the completion of the set of step functions with respect to the norm defined above. Then at page 614 it is stated that $u_t^epsilon$ converges to $u$ in $mathbb{D}^{1,2}(mathcal{H}_K)$. The key step that I'm missing is the integral estimate done at page 615, in fact I obtain and estimate that also involves the integral:
$$
int_{t_i + 2 epsilon}^{t_{i+1} - 2 epsilon} left( int_{s}^{t_i + 2 epsilon} left| u_t^epsilon - u_s^epsilon right | (t-s)^{H - frac{3}{2}} dt right)^2 ds
$$
and I am not able to state that this integral converges to zero. Any suggestions?
probability-theory measure-theory stochastic-calculus stochastic-analysis malliavin-calculus
asked Dec 8 at 17:09
JCF
219112
I'm studying this article https://projecteuclid.org/download/pdf_1/euclid.twjm/1500574954 and I'm having problems understanding the proof of lemma 3.
Let me recall some of the criminals involved. Let $(u_t)_{t in [0,T]}$ be a simple bounded process of the form
$$
u = sum_{j = 0}^{n-1} F_j 1_{(t_s, t_{j+1}]},
$$
let us define
$$
u^epsilon_t = frac{1}{2 epsilon}int_{t - epsilon}^{t+epsilon} u_r dr.
$$
Let us define the seminorm
$$
lvert| phi |rvert_K^2 = int_0^T phi(s)^2 K(T,s)^2 ds + int_0^T left(int_s^T left | phi(t) - phi(s) right | (t-s)^{H - frac{3}{2}} dt right)^2 ds
$$
where $K$ satisfies
$$ left | K(t,s) right | leq c((t-s)^{H - frac{1}{2}} + s^{H - frac{1}{2}}) $$ and
$$left | frac{partial K}{partial t} (t,s) right | leq c (t-s)^{H - frac{3}{2}}$$
where $H < frac{1}{2}$. Let $mathcal{H}_K$ be the completion of the set of step functions with respect to the norm defined above. Then at page 614 it is stated that $u_t^epsilon$ converges to $u$ in $mathbb{D}^{1,2}(mathcal{H}_K)$. The key step that I'm missing is the integral estimate done at page 615, in fact I obtain and estimate that also involves the integral:
$$
int_{t_i + 2 epsilon}^{t_{i+1} - 2 epsilon} left( int_{s}^{t_i + 2 epsilon} left| u_t^epsilon - u_s^epsilon right | (t-s)^{H - frac{3}{2}} dt right)^2 ds
$$
and I am not able to state that this integral converges to zero. Any suggestions?
probability-theory measure-theory stochastic-calculus stochastic-analysis malliavin-calculus
probability-theory measure-theory stochastic-calculus stochastic-analysis malliavin-calculus
asked Dec 8 at 17:09
JCF
219112
asked Dec 8 at 17:09
JCF
219112
edited Dec 8 at 17:23
asked Dec 8 at 17:09
JCF
219112
asked Dec 8 at 17:09
JCF
219112
asked Dec 8 at 17:09
JCF
219112
219112
Regarding the last integral, don't we have $|u_t^epsilon-u_s^epsilon|=0$ for $s,tin(t_i+2epsilon,t_{i+1}-2epsilon)$?
– AddSup
Dec 9 at 12:11
Yes, that is true. Anyway in the integral $int_s^{t_i + 2 epsilon} dots$, $s$ belongs to $[0, t_i + 2 epsilon]$ and that shall not be null.
– JCF
Dec 9 at 15:29
I meant $t$ not $s$.
– JCF
Dec 9 at 15:40
? In the inner integral, $t$ lies between $s$ and $t_i+2epsilon$ while $s$ lies between $t_i+2epsilon$ and $t_{i+1}-2epsilon$, so $t$, too, lies between $t_i+2epsilon$ and $t_{i+1}-2epsilon$. Where does $0$ in $[0,t_i+2epsilon]$ come from?
– AddSup
Dec 9 at 16:54
You're right, stupidly I didn't notice it.
– JCF
Dec 9 at 17:48
add a comment |
Regarding the last integral, don't we have $|u_t^epsilon-u_s^epsilon|=0$ for $s,tin(t_i+2epsilon,t_{i+1}-2epsilon)$?
– AddSup
Dec 9 at 12:11
Yes, that is true. Anyway in the integral $int_s^{t_i + 2 epsilon} dots$, $s$ belongs to $[0, t_i + 2 epsilon]$ and that shall not be null.
– JCF
Dec 9 at 15:29
I meant $t$ not $s$.
– JCF
Dec 9 at 15:40
? In the inner integral, $t$ lies between $s$ and $t_i+2epsilon$ while $s$ lies between $t_i+2epsilon$ and $t_{i+1}-2epsilon$, so $t$, too, lies between $t_i+2epsilon$ and $t_{i+1}-2epsilon$. Where does $0$ in $[0,t_i+2epsilon]$ come from?
– AddSup
Dec 9 at 16:54
You're right, stupidly I didn't notice it.
– JCF
Dec 9 at 17:48
Regarding the last integral, don't we have $|u_t^epsilon-u_s^epsilon|=0$ for $s,tin(t_i+2epsilon,t_{i+1}-2epsilon)$?
– AddSup
Dec 9 at 12:11
Regarding the last integral, don't we have $|u_t^epsilon-u_s^epsilon|=0$ for $s,tin(t_i+2epsilon,t_{i+1}-2epsilon)$?
– AddSup
Dec 9 at 12:11
Yes, that is true. Anyway in the integral $int_s^{t_i + 2 epsilon} dots$, $s$ belongs to $[0, t_i + 2 epsilon]$ and that shall not be null.
– JCF
Dec 9 at 15:29
Yes, that is true. Anyway in the integral $int_s^{t_i + 2 epsilon} dots$, $s$ belongs to $[0, t_i + 2 epsilon]$ and that shall not be null.
– JCF
Dec 9 at 15:29
I meant $t$ not $s$.
– JCF
Dec 9 at 15:40
I meant $t$ not $s$.
– JCF
Dec 9 at 15:40
? In the inner integral, $t$ lies between $s$ and $t_i+2epsilon$ while $s$ lies between $t_i+2epsilon$ and $t_{i+1}-2epsilon$, so $t$, too, lies between $t_i+2epsilon$ and $t_{i+1}-2epsilon$. Where does $0$ in $[0,t_i+2epsilon]$ come from?
– AddSup
Dec 9 at 16:54
? In the inner integral, $t$ lies between $s$ and $t_i+2epsilon$ while $s$ lies between $t_i+2epsilon$ and $t_{i+1}-2epsilon$, so $t$, too, lies between $t_i+2epsilon$ and $t_{i+1}-2epsilon$. Where does $0$ in $[0,t_i+2epsilon]$ come from?
– AddSup
Dec 9 at 16:54
You're right, stupidly I didn't notice it.
– JCF
Dec 9 at 17:48
You're right, stupidly I didn't notice it.
– JCF
Dec 9 at 17:48
add a comment |
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Regarding the last integral, don't we have $|u_t^epsilon-u_s^epsilon|=0$ for $s,tin(t_i+2epsilon,t_{i+1}-2epsilon)$?
– AddSup
Dec 9 at 12:11
Yes, that is true. Anyway in the integral $int_s^{t_i + 2 epsilon} dots$, $s$ belongs to $[0, t_i + 2 epsilon]$ and that shall not be null.
– JCF
Dec 9 at 15:29
I meant $t$ not $s$.
– JCF
Dec 9 at 15:40
? In the inner integral, $t$ lies between $s$ and $t_i+2epsilon$ while $s$ lies between $t_i+2epsilon$ and $t_{i+1}-2epsilon$, so $t$, too, lies between $t_i+2epsilon$ and $t_{i+1}-2epsilon$. Where does $0$ in $[0,t_i+2epsilon]$ come from?
– AddSup
Dec 9 at 16:54
You're right, stupidly I didn't notice it.
– JCF
Dec 9 at 17:48