ar X iv : 0 80 3 . 36 65 v 2 [ m at h . PR ] 4 D ec 2 00 8 INTEGRATION WITH RESPECT TO FRACTIONAL LOCAL TIME WITH HURST INDEX
نویسندگان
چکیده
Let L (x, t) = 2H R t 0 δ(B s − x)s ds be the weighted local time of fractional Brownian motion B with Hurst index 1/2 < H < 1. In this paper, we use Young integration to study the integral of determinate functions R R f(x)L (dx, t). As an application, we investigate the weighted quadratic covariation [f(B), B ] ) defined by [f(B), B ] (W ) t := lim n→∞ 2H n−1
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