Differentiability of Fractional Integrals Whose Kernels Contain Fractional Brownian Motions

• Date: 2001
• Main Authors: Krvavich, Yu. V., Mishura, Yu. S., Крвавич, Ю. В., Мішура, Ю. С.
• Format: Article
• Language: Ukrainian; English
• Published: Institute of Mathematics, NAS of Ukraine 2001
• Online Access: https://umj.imath.kiev.ua/index.php/umj/article/view/4218
• Journal Title: Ukrains’kyi Matematychnyi Zhurnal

We prove the stochastic Fubini theorem for Wiener integrals with respect to fractional Brownian motions. By using this theorem, we establish conditions for the mean-square and pathwise differentiability of fractional integrals whose kernels contain fractional Brownian motions.