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Let $W^H$ be a fBm with Hurst parameter $H$ and let $\mathcal{H}$ be its Cameron-Martin space. Then by Girsanov theorem we know that if $\mathbb{P}$ is an fBm measure, it holds that there exists a measure $\mathbb{Q}$, equivalent to $\mathbb{P}$, such that for every $h \in \mathcal{H}$ we have that $t \mapsto W^H_t + h_t$ is a fBm under $\mathbb{Q}$.

Then by AMN01, Theorem 1 for instance we know that the following formula holds:

$$f(W^H)_{st} = \int_s^t f'(W^H_r) \delta W^H_r + \int_s^t f''(W^H_r) r^{2H-1} dr $$

Does the same hold for $X = W^H + h$, i.e.

\begin{equation} f(X)_{st} = \int_s^t f'(X) \delta W^H_r + \int_s^t f'(X) dh_r + \int_s^t f''(X_r) r^{2H-1} dr \end{equation}

assuming that the second integral on the rhs can be well-defined, for instance $h \in \mathcal{C}_t^{\alpha}$ such that $H + \alpha > 1$, so that it can be understood as a Young integral.

My idea would be to use the first equation with $X$ instead of $W^H$. Integral is defined application of divergence operator on path $f'(X)$

$$f'(X) \in \text{Dom}\ \delta^{X}$$

by chapter 2 in the same paper we'd have that for $u$ piecewise constant:

$$\delta^X(u) = \sum_j u_j (X_{t_{j+1}} - X_{t_j}) = \sum_j u_j (W^H_{t_{j+1}} - W^H_{t_j}) + \sum_j u_j h_{t_j t_{j+1}}$$

so I'd like it to converge to what I want upon taking small partitions. In other words, my question can be boiled down to the following:

question is it true that for $X = W^H + h$ as above, we can write Skorohod integral with respect to $X$ as:

$$\delta^X(u) = \int_0^t u \delta X = \int_0^t u \delta (W^H + h) = \int_0^t u \delta W^H + \int_0^t u dh$$

we can assume additional continuity on $u$, such that the last integral makes sense as the Young one. Since later I'd probably like to keep Gaussianity of $X$, I'd like it to hold under measure $\mathbb{Q}$.

If it's not true, then it would mean that we have to show (I think, by Theorem 1 in the mentioned paper):

$$\mathbb{E} \int_0^t D_r G K^* [ f'(W^H_r + h_r) ] dr = \mathbb{E} [ G f(X)_{st} ] - \mathbb{E}[ G \int_s^t f'(X_r) dh_r ] - \frac{1}{2} \mathbb{E} \int_s^t f''(X_r) r^{2H-1} dr$$

for any $G \in L^2(\Omega)$ for $\mathbb{E}$ being expectation wrt $\mathbb{P}$. But $X$ is not necessarily Gaussian anymore (and certainly doesn't have zero mean under a measure $\mathbb{P}$), so that we would have to perform a change of measure which may make computations very painful.

note - I know that change of variables can be defined with help of rough paths theory, if we lift $W^H$ to the rough path. I'm specifically curious about Skorohod integral approach.

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  • $\begingroup$ It might help to ask your questions with some question marks, and with at least one question in the first paragraph. That way the people who might answer will quickly see what they might offer, and the clarifications and context can go later in the post. $\endgroup$
    – user44143
    Feb 20, 2022 at 3:09
  • $\begingroup$ thanks for comment, I'll keep that in mind in the future! $\endgroup$ Feb 21, 2022 at 22:57
  • $\begingroup$ interesting question. How about using the conversion between RP-integral and Skorokhod integral as described here "A Stratonovich-Skorohod integral formula for Gaussian rough paths" and then using the one for RP $\endgroup$ Feb 5, 2023 at 23:25

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