Chong, Carsten; Delerue, Thomas; Mies, Fabian - 2022
Consider the sum Y=B+B^H of a Brownian motion B and an independent fractional Brownian motion B^H with Hurst parameter H ∈ (0,1). Surprisingly, even though B^H is not a semimartingale, Cheridito proved in that Y is a semimartingale if H3/4. Moreover, Y is locally equivalent to B in this case,...