ito-跳跃公式.pdfVIP

Journal of Applied Mathematics and Stochastic Analysis 9, Number 4, 1996, 439-448. ITO’S FORMULA WITH RESPECT TO FRACTIONAL BROWNIAN MOTION AND ITS APPLICATION W. DAI Australian National University School of Mathematical Sciences Canberra, ACT 0200, Australia C.C. HEYDE Columbia University 2990 Broadway, Mail Code 4403 New York, NY 10027 USA and Australian National University School of Mathematical Sciences Canberra, ACT 0200, Australia (Received July, 1996; Revised October, 1996) ABSTRACT Fractional Brownian motion with Hurst index H 1 is not a (FBM) 1/2 semimartingale. Consequently, the standard It calculus is not available for stochastic integrals with respect to FBM as an integrator if 1/2 H 1. In this paper we derive a version of It’s formula for fractional Brownian motion. Then, as an application, we propose and study a fractional Brownian Scholes stochastic model which includes the standard Black-Scholes model as a special case and is able to account for long range dependence in modeling the price of a risky asset. This article is dedicated to the memory of Roland L. Dobrushin. Key words: Fractional Brownian Motion, It6’s Formula, Long Range