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Time Reversal for Drifted Fractional Brownian Motion with Hurst Index $H>1/2$


 
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1. Title Title of document Time Reversal for Drifted Fractional Brownian Motion with Hurst Index $H>1/2$
 
2. Creator Author's name, affiliation, country Sebastien Darses; University Paris 6
 
2. Creator Author's name, affiliation, country Bruno Saussereau; University of Franche-Comte
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Fractional Brownian motion; Time reversal; Malliavin Calculus.
 
3. Subject Subject classification 60G18; 60H07; 60H10; 60J60
 
4. Description Abstract Let $X$ be a drifted fractional Brownian motion with Hurst index $H > 1/2$. We prove that there exists a fractional backward representation of $X$, i.e. the time reversed process is a drifted fractional Brownian motion, which continuously extends the one obtained in the theory of time reversal of Brownian diffusions when $H=1/2$. We then apply our result to stochastic differential equations driven by a fractional Brownian motion.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2007-09-07
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/439
 
10. Identifier Digital Object Identifier 10.1214/EJP.v12-439
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 12
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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