Forward stochastic integration for adapted processes w.r.t. Riemann-Liouville fractional Brownian motion (Full version)

Abstract

This paper provides the time-dependent $L^2$-martingale representation of the forward stochastic integral where the driving noise is the Riemann-Liouville fractional Brownian motion with parameter $\frac{1}{2}<H<1$ and the integrand is a square-integrable adapted process. As a by-product, we obtain the exact $L^2$-isometry of the forward stochastic integrals based on suitable conditions on time-dependent martingale representations of adapted integrands combined with the Nelson's stochastic derivative of the underlying Gaussian driving noise.

arXiv comment43 pages