Time reversal for drifted fractional Brownian motion with Hurst index H > 1/2
نویسنده
چکیده
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.
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