Stochastic derivatives for fractional diffusions
نویسندگان
چکیده
In this paper, we introduce some fundamental notions related to the so-called stochastic derivatives with respect to a given σ-field Q. In our framework, we recall well-known results about Markov Wiener diffusions. We afterwards mainly focus on the case where X is a fractional diffusion and where Q is the past, the future or the present of X . We treat some crucial examples and our main result is the existence of stochastic derivatives with respect to the present of X when X solves a stochastic differential equation driven by a fractional Brownian motion with Hurst index H > 1/2. We give explicit formulas.
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