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On a new Itô-type formula in law

Abstract : Fractional Brownian motion in Brownian time Z may serve as a model for the motion of a single gas particle constrained to evolve inside a crack. In this PhD thesis, written under the supervision of Ivan Nourdin, we prove Itô's type formulas for Z. To achieve this goal, our main tools are the Malliavin calculus, the stochastic calculus and the use of limit theorems. One of the specificity of the formula we have obtained is that they hold in law, with creation of a new alea. This manuscript consists in an introductory chapter, followed by three other chapters, each one corresponding to different results obtained along the preparation of this thesis and written is the form of research papers. More precisely: 1)In a first paper, we introduce the central process of this thesis, namely the fractional Brownian motion in Brownian time Z. Then, we study the fluctuations of its power variations of order p, for any integer p greater than or equal to 1. 2)In a second paper, written jointly with my supervisor Ivan Nourdin, we use the results obtained in 1) to build an Itô's type formula for Z. To do so, we need to extend to our setting an approach originally due to Khoshnevisan and Lewis, consisting in rather working with a random partition of time, instead of the classical uniform deterministic partition. 3)Finally, in a third and last paper, we extend to bi-dimension the one- dimensional formula obtained in 2)
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Submitted on : Thursday, March 29, 2018 - 1:05:29 PM
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Raghid Zeineddine. On a new Itô-type formula in law. General Mathematics [math.GM]. Université de Lorraine, 2014. English. ⟨NNT : 2014LORR0179⟩. ⟨tel-01751094⟩



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