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# Stochastic Integration with respect to Volterra processes

## 1 Introduction

In the past few years, more than twenty papers have been devoted to the definition of a stochastic integral with respect to fractional Brownian motion or other “related” processes, see for instance \[Dec02a\] and references therein. Remind that fractional Brownian process of Hurst index $`H(0,1),`$ denoted by $`B^H,`$ is the unique centered Gaussian process whose covariance kernel is given by

$$R_H(s,t)=\text{E}\left[B_s^HB_t^H\right]\stackrel{def}{=}\frac{V_H}{2}\left(s^{2H}+t^{2H}|ts|^{2H}\right)$$

where

$$V_H\stackrel{def}{=}\frac{\mathrm{\Gamma }(22H)\mathrm{cos}(\pi H)}{\pi H(12H)}.$$

Among other properties, this process has $`1/H`$-finite variation and a finite generalized covariation of order 4 for $`H>1/4,`$ (see \[GRV\] for the definition), has Hölder continuous trajectories of any order less than $`H`$ and has the following representation property:

$$B^H(t)=_0^tK_H(t,s)\text{ d}B_s,$$
(1)
where $`B`$ is a one dimensional standard Brownian motion and $`K`$ is deterministic kernel with an intricate expression (see \[DÜ99\]). Therefore, a “related” process means altogether a process with finite $`p`$-variation, called a process with rough paths in \[CQ00, Lyo98\], or a process with Hölder continuous sample-paths as in \[FdLP99, Z9̈8\] and also a process of the form (1) with a general kernel as in \[AMN01, CCM02, Dec02b\].

This is the last track that we will follow here. Our present work, which is the expanded version of \[Dec02b\], differs from the other two papers \[AMN01, CCM02\] in two ways. First, the method to define the stochastic integral is different. In these two papers, the kernel is regularized, if needed, to obtain a semi-martingale. The second step is then to use the classical theory of stochastic integration and then pass to the limit after a stochastic integration by parts in the sense of the Malliavin Calculus. We here use an approach based on convergence of discrete sums. It should be already noted that for smooth integrands, their notion of integral and ours coincide. The other difference is to be found in the kind of hypothesis put on $`K.`$ In \[AMN01, CCM02\], hypothesis are made on the regularity of the function $`K(t,s)`$ itself. We here work with assumptions on the linear map $`fK(t,s)f(s)\text{ d}s.`$ Properties of $`K(t,s)`$ and $`Kf`$ are, of course, intimately related but we think that working with the latter gives more insight on the underlying problems.

In Section 2, we recall basic definitions and properties of deterministic fractional calculus. In Section 3, we introduce the class of processes, named Volterrra processes, that we will study. We then give a few properties of their sample-paths. In Section 4, we deal with a Stratonovitch-like definition of the stochastic integral with respect to Volterra processes. Section 5 is devoted to the time regularity of the previously constructed integral and in Section 6, we establish an Itô formula. In the last section, we show how the Stratonovith integral is related to a Skorohod-like integral and how a Itô-like process constructed from such an integral is modified through an absolutely continuous change of probability.

## 2 Preliminaries

This section is only devoted to the presentation of the tools of deterministic fractional calculus we shall use in the sequel. For $`f^1([0,1];dt),`$ (denoted by $`^1`$ for short) the left and right fractional integrals of $`f`$ are defined by :

$`(I_{0^+}^\gamma f)(x)`$ $`\stackrel{def}{=}{\displaystyle \frac{1}{\mathrm{\Gamma }(\gamma )}}{\displaystyle _0^x}f(t)(xt)^{\gamma 1}𝑑t,x0,`$
$`(I_1^{}^\gamma f)(x)`$ $`\stackrel{def}{=}{\displaystyle \frac{1}{\mathrm{\Gamma }(\gamma )}}{\displaystyle _x^1}f(t)(tx)^{\gamma 1}𝑑t,x1,`$
where $`\gamma >0`$ and $`I_{0^+}^0=I_1^{}^0=\mathrm{Id}.`$ For any $`\gamma 0`$, any $`f^p`$ and $`g^q`$ where $`p^1+q^1\gamma `$, we have :

$$_0^1f(s)(I_{0^+}^\gamma g)(s)𝑑s=_0^1(I_1^{}^\gamma f)(s)g(s)𝑑s.$$
(2)
The Besov-Liouville space $`I_{0^+}^\gamma (^p)\stackrel{not}{=}_{\gamma ,p}^+`$ is usually equipped with the norm :

$$I_{0^+}^\gamma f_{_{\gamma ,p}^+}=f_^p.$$
(3)
Analogously, the Besov-Liouville space $`I_1^{}^\gamma (^p)\stackrel{not}{=}_{\gamma ,p}^{}`$ is usually equipped with the norm :

$$I_1^{}^\gamma f_{_{\gamma ,p}^{}}=f_^p.$$

We then have the following continuity results (see \[FdLP99, SKM93\]) :

###### Proposition 2.1.

1. If $`0<\gamma <1,`$ $`1<p<1/\gamma ,`$ then $`I_{0^+}^\gamma `$ is a bounded operator from $`^p`$ into $`^q`$ with $`q=p(1\gamma p)^1.`$
2. For any $`0<\gamma <1`$ and any $`p1,`$ $`_{\gamma ,p}^+`$ is continuously embedded in $`\mathrm{Hol}(\gamma 1/p)`$ provided that $`\gamma 1/p>0.`$ $`\mathrm{Hol}(\nu )`$ denotes the space of Hölder-continuous functions, null at time $`0,`$ equipped with the usual norm.
3. For any $`0<\gamma <\beta <1,`$ $`\mathrm{Hol}(\beta )`$ is compactly embedded in $`_{\gamma ,\mathrm{}}.`$
4. By $`I_{0^+}^\gamma ,`$ respectively $`I_1^{}^\gamma ,`$ we mean the inverse map of $`I_{0^+}^\gamma ,`$ respectively $`I_1^{}^\gamma .`$ The relation $`I_{0^+}^\gamma I_{0^+}^\beta f=I_{0^+}^{\gamma +\beta }f`$ holds whenever $`\beta >0,\gamma +\beta >0`$ and $`f^1.`$
5. For $`\gamma p>1,`$ the spaces $`_{\gamma ,p}^+`$ and $`_{\gamma ,p}^{}`$ are canonically isomorphic. We will thus use the notation $`_{\gamma ,p}`$ to denote any of this spaces. This property isn’t any more true for $`\gamma p>1,`$ see Lemma 2.3 and text below Definition 4.1.

We now define the Besov-Liouville spaces of negative order and show that they are in duality with Besov-Liouville of positive order (it is likely that this exists elsewhere in the literature but we have not found any reference so far). Denote by $`𝒟_+`$ the space of $`𝒞^{\mathrm{}}`$ functions defined on $`[0,1]`$ and such that $`\varphi ^{(k)}(0)=0.`$ Analogously, set $`𝒟_{}`$ the space of $`𝒞^{\mathrm{}}`$ functions defined on $`[0,1]`$ and such that $`\varphi ^{(k)}(1)=0.`$ They are both equipped with the projective topology induced by the semi-norms $`p_k(\varphi )=_{jk}\varphi ^{(j)}_{\mathrm{}}.`$ Let $`𝒟_+^{},`$ resp. $`𝒟_{}^{},`$ be their strong topological dual. It is straightforward that $`𝒟_+`$ is stable by $`I_{0^+}^\gamma `$ and $`𝒟_{}`$ is stable $`I_1^{}^\gamma ,`$ for any $`\gamma 𝐑.`$ Hence, guided by (2), we can define the fractional integral of any distribution (i.e., an element of $`𝒟_{}^{}`$ or $`𝒟_+^{}`$):

$`\text{For }T𝒟_{}^{};I_{0^+}^\gamma T:\varphi 𝒟_{}`$ $`<T,I_1^{}^\gamma \varphi >_{𝒟_{}^{},𝒟_{}},`$
$`\text{For }T𝒟_+^{};I_1^{}^\gamma T:\varphi 𝒟_+`$ $`<T,I_{0^+}^\gamma \varphi >_{𝒟_+^{},𝒟_+}.`$
We introduce now our Besov spaces of negative order by

###### Definition 2.1.

For $`\gamma >0`$ and $`r>1,`$ $`_{\gamma ,r}^+`$ (resp. $`_{\gamma ,r}^{}`$) is the space of distributions such that $`I_{0^+}^\gamma T`$ (resp. $`I_1^{}^\gamma T`$ ) belongs to $`^r.`$ The norm of an element $`T`$ in this space is the norm of $`I_{0^+}^\gamma T`$ in $`^r`$ (resp. of $`I_1^{}^\gamma T`$).

###### Theorem 2.1.

For $`\gamma >0`$ and $`r>1,`$ the dual space of $`_{\gamma ,r}^+`$ (resp. $`_{\gamma ,r}^{}`$) is canonically isometrically isomorphic to $`I_1^{}^\gamma (^r^{})`$ (resp. $`I_{0^+}^\gamma (^r^{})`$,) where $`r^{}=r(r1)^1.`$

###### Proof.

Let $`T`$ be in $`𝒟_+^{},`$ we have:

$`\underset{\varphi :\varphi _{_{\gamma ,r}^+}=1}{sup}|<T,\varphi >|`$ $`=\underset{\psi :\psi _^r=1}{sup}|<T,I_{0^+}^\gamma \varphi >|`$
$`=\underset{\psi :\psi _^r=1}{sup}|<I_1^{}^\gamma T,\varphi >|`$
hence by the Hahn-Banach theorem,

$$T(_{\gamma ,r}^+)^{}\underset{\varphi :\varphi _{_{\gamma ,r}^+}=1}{sup}|<T,\varphi >|<\mathrm{}I_1^{}^\gamma T^r^{},$$

and $`T_{(_{\gamma ,r}^+)^{}}=T_{I_1^{}^\gamma (^r^{})}.`$ The same reasoning also holds for $`(_{\gamma ,r}^{})^{}.`$

###### Theorem 2.2.

For $`\beta \gamma 0`$ and $`r>1,`$ $`I_1^{}^\beta `$ is continuous from $`_{\gamma ,r}^{}`$ into $`_{\beta \gamma ,r}^{}.`$

###### Proof.

Since $`T`$ belongs to $`_{\gamma ,r}^{}=(_{\gamma ,r^{}})^{},`$ we have:

$$|<I_1^{}^\beta T,\varphi >|=|<T,I_{0^+}^\beta \varphi >|cI_{0^+}^\beta \varphi _{_{\gamma ,r^{}}}=cI_{0^+}^{\beta \gamma }\varphi _^r^{}.$$

Thus, $`I_1^{}^\beta T`$ is a continuous linear form on $`_{\gamma \beta ,r^{}}^+`$ and thus belongs to the dual of this space which, according to the previous theorem, is exactly $`_{\beta \gamma ,r}^{}.`$

For $`\eta >0`$ and $`p[1,+\mathrm{}),`$ the Slobodetzki space $`𝒮_{\eta ,p}`$ is the closure of $`𝒞^1`$ functions with respect to the semi-norm:

$$f_{𝒮_{\eta ,p}}^p=_{[0,1]^2}\frac{|f(x)f(y)|^p}{|xy|^{1+p\eta }}𝑑x𝑑y,$$

For $`\eta =0,`$ we simply have $`𝒮_{0,p}=L^p([0,1]).`$ We then have the following continuity results (see \[FdLP99, Z9̈8\]) :

###### Proposition 2.2.

1. For any $`0<\gamma <1`$ and any $`p1,`$ $`𝒮_{\gamma ,p}`$ is continuously embedded in $`\mathrm{Hol}(\gamma 1/p)`$ provided that $`\gamma 1/p>0.`$ $`\mathrm{Hol}(\nu )`$ denotes the space of Hölder-continuous functions, null at time $`0,`$ equipped with the usual norm.

For $`0<\gamma <1/p,`$ $`𝒮_{\gamma ,p}`$ is compactly embedded in $`L^{p(1\gamma p)^1}([0,1]).`$ Moreover, if $`p=2,`$ the embedding of $`𝒮_{\gamma ,p}`$ into $`L^2([0,1])`$ is Hilbert-Schmidt.
2. It is proved in \[FdLP99\] that for $`1a>b>c>0`$ that we the following embeddings are continuous (even compact)

$$𝒮_{a,p}_{b,p}^+𝒮_{c,p}.$$
(4)
3. For any $`0<\gamma <\beta <1,`$ $`\mathrm{Hol}(\beta )`$ is compactly embedded in $`𝒮_{\gamma ,\mathrm{}}.`$
4. Let $`a>0,`$ $`1<pq<\mathrm{}.`$ Suppose $`b=a1/p+1/q>0.`$ Then $`𝒮_{a,p}`$ is continuously embedded in $`𝒮_{b,q},`$ see \[Ada75\].

One of the key property we shall use, is this result due to Tambaca \[Tam01\].

###### Lemma 2.1.

Let $`r,s[0,1/2)`$ and let $`t=r+s1/20.`$ For $`f𝒮_{s,2},`$ $`g𝒮_{r,2},`$ the product $`fg`$ belongs to $`𝒮_{t,2}`$ and we have:

$$fg_{𝒮_{t,2}}cf_{𝒮_{r,2}}g_{𝒮_{s,2}}.$$

From this Lemma and the embeddings of Eqn. (4), we have:

###### Corollary 2.1.

Let $`r,s[\mathrm{},1/2)`$ and let $`t<r+s1/2.`$ For $`f_{s,2},`$ $`g_{r,2},`$ the product $`fg`$ belongs to $`_{t,2}`$ and we have:

$$fg_{_{t,2}}cf_{_{r,2}}g_{_{s,2}}.$$

We will need a similar result in the simpler situation where $`r`$ is greater than $`1/2.`$

###### Lemma 2.2.

Let $`r>1/2,`$ for $`f`$ and $`g`$ in $`_{r,2},`$ we have

$$fg_{𝒮_{r,2}}cf_{𝒮_{r,2}}g_{𝒮_{r,2}}.$$
(5)
###### Proof.

Since $`r>1/2,`$ $`f`$ and $`g`$ are continuous and $`f_{\mathrm{}}cf_{𝒮_{r,2}}.`$ The same holds for $`g.`$ Thus,

$`fg_{𝒮_{r,2}}^2`$ $`{\displaystyle _{[0,1]^2}}\left({\displaystyle \frac{|f(x)|^2(g(x)g(y))^2}{|xy|^{1+2r}}}+{\displaystyle \frac{|g(y)|^2(f(x)f(y))^2}{|xy|^{1+2r}}}\right)\text{ d}x\text{ d}y`$
$`c\left(f_{\mathrm{}}^2g_{𝒮_{r,2}}^2+g_{\mathrm{}}^2f_{𝒮_{r,2}}^2\right),`$
and the result follows. ∎

One could probably work with only one family of spaces (i.e., either $`_{\alpha ,p}`$ or $`𝒮_{\alpha ,p}`$) but depending on the properties, some are easier to verify in the setting of Riemann-Liouville spaces and some in the setting of Slobodetzki spaces, see for instance the property below.

###### Lemma 2.3.

Let $`\gamma >\stackrel{~}{\gamma }>1/2`$ and $`f𝒮_{\gamma ,2}`$ then $`(ff(t))\mathrm{𝟏}_{[0,t]}`$ belongs to $`𝒮_{\stackrel{~}{\gamma },2}.`$

###### Proof.

First note that $`f`$ is $`(\gamma 1/2)`$-Hölder continuous thus that $`ff(t)`$ is well defined. Moreover,

$$\begin{array}{c}_{[0,1]^2}\frac{|(f(x)f(t))\mathrm{𝟏}_{[0,t]}(f(y)f(t))\mathrm{𝟏}_{[0,t]}|^2}{|xy|^{1+2\stackrel{~}{\gamma }}}𝑑x𝑑y\hfill \\ \hfill =_{[0,t]^2}\frac{|f(x)f(y)|^2}{|xy|^{1+2\stackrel{~}{\gamma }}}𝑑x𝑑y+2_{[0,t]\times [0,1]}\frac{|f(x)f(t)|^2}{|xy|^{1+2\stackrel{~}{\gamma }}}𝑑x𝑑y\\ \hfill f_{\stackrel{~}{\gamma },2}^2(1+2_{[0,t]\times [t,1]}\frac{|xt|^{2\gamma 1}}{|xy|^{1+2\stackrel{~}{\gamma }}}𝑑x𝑑y)cf_{\stackrel{~}{\gamma },2}^2.\end{array}$$

## 3 Volterra processes

Consider that we are given a deterministic Hilbert-Schmidt linear map, $`K,`$ satisfying:

###### Hypothesis I.

There exists $`\alpha >0`$ such that $`K`$ is continuous, one-to-one, from $`^2([0,1])`$ into $`_{\alpha +1/2,2}.`$ Moreover, $`K`$ is triangular, i.e., for any $`\lambda [0,1],`$ the set $`𝒩_\lambda =\{f:f(t)=0\text{ for }t\lambda \}`$ is invariant by $`K.`$

###### Remark 3.1.

Since $`K`$ is Hilbert-Schmidt from $`^2([0,1])`$ into itself, there exists a measurable kernel $`K(.,.)`$ such that

$$Kf(t)=_0^1K(t,s)f(s)\text{ d}s.$$

The triangularity of $`K`$ is equivalent to $`K(t,s)=0`$ for $`s>t,`$ i.e.,

$$Kf(t)=_0^tK(t,s)f(s)\text{ d}s.$$

Consider now the kernel $`R(t,s)`$ defined by

$$R(t,s):=_0^{ts}K(t,r)K(s,r)\text{ d}r.$$

The map associated to $`R,`$ i.e., $`Rf(t)=_0^1R(t,s)f(s)\text{ d}s,`$ is equal to $`KK^{}`$ and for any $`\beta _1,\mathrm{},\beta _n`$ any $`t_1,\mathrm{},t_n,`$ we have

$$\underset{i,j}{}\beta _i\beta _jR(t_i,t_j)=K^{}(\beta _jϵ_{t_j})(s)^2\text{ d}s0,$$

so that $`R(t,s)`$ is a positive kernel and we can speak of the centered Gaussian process of covariance kernel $`R.`$ Let $`X`$ be this process and be the subject of our study.

###### Lemma 3.1.

The process $`X`$ has a modification with a.s. continuous sample-paths.

###### Proof.

We have

$`\text{E}\left[(X_tX_s)^2\right]`$ $`={\displaystyle _0^t}K(t,r)^2\text{ d}r+{\displaystyle _0^s}K(s,r)^2\text{ d}r2{\displaystyle _0^{ts}}K(t,r)K(s,r)\text{ d}r`$
$`=K(K(t,.)K(s,.))(t)K(K(t,.)K(s,.))(s)`$
$`c|ts|^\alpha \left({\displaystyle _0^1}(K(t,r)K(s,r))^2\text{ d}r\right)^{1/2}.`$
Expanding the square in the last integral, we get the right hand side of the first equation, thus

$$\text{E}\left[(X_tX_s)^2\right]^{1/2}c|ts|^\alpha .$$

Kolmogorov Lemma entails that $`X`$ has a modification with Hölder continuous sample paths of any order less than $`\alpha .`$

We thus now work on the Wiener space $`\mathrm{\Omega }=𝒞_0([0,1];𝐑),`$ the Cameron-Martin space is $`H=K(^2([0,1]))`$ and $`P,`$ the probability on $`\mathrm{\Omega }`$ under which the canonical process, denoted by $`X,`$ is a centered Gaussian process of covariance kernel $`R.`$ The norm of $`h=K(g)`$ in $`H`$ is the norm of $`g`$ in $`^2([0,1]).`$

A mapping $`\varphi `$ from $`\mathrm{\Omega }`$ into some separable Hilbert space $`X`$ is called cylindrical if it is of the form $`\varphi (w)=_{i=1}^df_i(v_{i,1},w,\mathrm{},v_{i,n},w)x_i`$ where for each $`i,`$ $`f_i𝒞_0^{\mathrm{}}(𝐑^n,𝐑)`$ and $`(v_{i,j},j=1\mathrm{}n)`$ is a sequence of $`\mathrm{\Omega }^{}`$ such that $`(\stackrel{~}{v}_{i,j},j=1\mathrm{}n)`$ (where $`\stackrel{~}{v}_{i,j}`$ is the image of $`v_{i,j}`$ under the injection $`\mathrm{\Omega }^{}^2([0,1])`$ ) is an orthonormal system of $`^2([0,1]).`$ For such a function we define $`\varphi `$ as

$$\varphi (w)=\underset{i,j=1}{}_jf_i(v_{i,1},w,\mathrm{},v_{i,n},w)\stackrel{~}{v}_{i,j}x_i.$$

From the quasi-invariance of the Wiener measure \[Ü95\], it follows that $``$ is a closable operator on $`L^p(\mathrm{\Omega };X)`$, $`p1`$, and we will denote its closure with the same notation. The powers of $``$ are defined by iterating this procedure. For $`p>1`$, $`k`$, we denote by $`𝔻_{p,k}(X)`$ the completion of $`X`$-valued cylindrical functions under the following norm

$$\varphi _{p,k}=\underset{i=0}{\overset{k}{}}^i\varphi _{L^p(\mathrm{\Omega };X^2([0,1])^i)}.$$

###### Remark 3.2.

Note that the Sobolev spaces $`𝒮_{\alpha ,p}`$ enjoy the useful property of $`p`$-admissibility (after \[FdLP91\]) and thus for any $`0<\gamma <1`$ and any $`p1,`$ the spaces $`𝔻_{p,k}(𝒮_{\alpha ,p})`$ and $`𝒮_{\alpha ,p}(𝔻_{p,k})`$ are isomorphic.

The divergence, denoted $`\delta `$ is the adjoint of $``$: $`v`$ belongs to $`\mathrm{Dom}_p\delta `$ whenever for any cylindrical $`\varphi ,`$

$$|\text{E}\left[_0^1u_s_s\varphi \text{ d}s\right]|c\varphi _{L^p}$$

and for such a process $`v,`$

$$\text{E}\left[_0^1u_s_s\varphi \text{ d}s\right]=\text{E}\left[\varphi \delta u\right].$$

It is easy to show (see \[DÜ99\]) that $`\{B_t:=\delta (\mathrm{𝟏}_{[0,t]}),t0\}`$ is a standard Brownian motion such that $`\delta u=u_s\text{ d}B_s`$ for any square integrable adapted processes $`u`$ and which satisfies

$$X_t=_0^tK(t,s)\text{ d}B_s.$$

Moreover, $`B`$ and $`X`$ have the same filtration. In view of the last identity and because $`K`$ is lower triangular, we decided to name such a process, a Gaussian Volterra process. The analysis of processes of the same kind where $`B`$ is replaced by a jump processes is the subject of our current investigations with N. Savy.

###### Example 1.

The first example is the so-called Lévy fractional Brownian motion of Hurst index $`H`$, defined as

$$\frac{1}{\mathrm{\Gamma }(H+1/2)}_0^t(ts)^{H1/2}\text{ d}B_s.$$

This amounts to say that $`K=I_{0^+}^{H+1/2},`$ thus that hypothesis I and II are immediately satisfied, with $`\alpha =H,`$ in view of the semi-group properties of fractional integration.

###### Example 2.

The other classical example is the fractional Brownian motion with stationary increments of Hurst index $`H,`$ for which

$$K(t,s)=K_H(t,r):=\frac{(tr)^{H\frac{1}{2}}}{\mathrm{\Gamma }(H+\frac{1}{2})}F(\frac{1}{2}H,H\frac{1}{2},H+\frac{1}{2},1\frac{t}{r})1_{[0,t)}(r).$$
(6)
The Gauss hyper-geometric function $`F(\alpha ,\beta ,\gamma ,z)`$ (see \[NU88\]) is the analytic continuation on $`\times \times \backslash \{1,2,\mathrm{}\}\times \{z,Arg|1z|<\pi \}`$ of the power series

$$\underset{k=0}{\overset{+\mathrm{}}{}}\frac{(\alpha )_k(\beta )_k}{(\gamma )_kk!}z^k,$$

and

$$(a)_0=1\text{ and }(a)_k\stackrel{def}{=}\frac{\mathrm{\Gamma }(a+k)}{\mathrm{\Gamma }(a)}=a(a+1)\mathrm{}(a+k1).$$

We know from \[SKM93\] that $`K_H`$ is an isomorphism from $`^2([0,1])`$ onto $`_{H+1/2,2}^+`$ and

$`K_Hf`$ $`=I_{0^+}^{2H}x^{1/2H}I_{0^+}^{1/2H}x^{H1/2}f\text{ for }H1/2,`$
$`K_Hf`$ $`=I_{0^+}^1x^{H1/2}I_{0^+}^{H1/2}x^{1/2H}f\text{ for }H1/2.`$
It follows easily that Hypothesis I and II are satisfied with $`\alpha =H.`$

###### Example 3.

Beyond these two well known cases, we can investigate the case of $`K(t,s)=K_{H(t)}(t,s)`$ for a deterministic function $`H.`$ This is the process studied in \[BBCI99\]. It seems interesting to analyze since statistical investigations via wavelets have shown that the local Hölder exponent of some real signals (in telecommunications) is varying with time and this situation can’t be reflected with a model based on fBm since its Hölder regularity is everywhere equal to its Hurst index.

###### Lemma 3.2.

For $`f^2,`$ for $`H_1>H_2\gamma >0,`$ we have

$`|K_{H_2}f(s)K_{H_2}f(t)|`$ $`c|ts|^\gamma f_^2,`$ (7)
$`|K_{H_1}f(s)K_{H_2}f(s)|`$ $`c|H_1H_2|f_^2,`$ (8)
where $`c`$ is a constant independent of $`H_1,H_2`$ and $`f.`$

###### Proof.

Since $`H_2`$ is greater than $`\gamma ,`$ $`K_{H_2}f`$ belongs to $`_{\gamma +1/2,2},`$ and (7) follows directly from the embedding of $`_{\gamma +1/2,2}`$ into $`\mathrm{Hol}(\gamma ).`$

Another expression of the hypergeometric function is given by:

$$F(a,b,c,z)=\frac{\mathrm{\Gamma }(c)}{\mathrm{\Gamma }(b)\mathrm{\Gamma }(cb)}_0^1t^{c1}(1t)^{cb1}(1zt)^a\text{ d}t.$$

Classical and tedious computations show that for $`H[h_1+\epsilon ,h_2\epsilon ],`$

$$|\frac{d}{dH}K_H(t,s)|c_\epsilon \underset{H(H_1,H_2)}{sup}|K_H(t,s)|,$$

where $`c_\epsilon =sup_{t[0,1]}|t^\epsilon \mathrm{ln}t|.`$ It thus entails that

$$|K_{H_2}(t,s)K_{H_1}(t,s)|c_\epsilon \underset{H(H_1,H_2)}{sup}|K_H(t,s)||H_2H_1|.$$

Cauchy-Schwarz inequality yields to (8). ∎

###### Theorem 3.1.

Let $`H`$ belong to $`𝒮_{1/2+\alpha ,2}`$ and be such that $`inf_tH(t)>1/2,`$ then $`K(t,s)=K_{H(t)}(t,s)`$ satisfies I for any $`\alpha <inf_tH(t)1/2.`$

###### Proof.

Let $`f`$ belong to $`^2,`$ set $`\gamma =inf_tH(t)`$ and let $`\alpha <\gamma 1/2.`$ According to the previous lemma, we have

$$\begin{array}{c}Kf_{𝒮_{1/2+\alpha ,2}}^2=_{[0,1]^2}\frac{|K_{H(t)}f(t)K_{H(s)}f(s)|^2}{|ts|^{2+2\alpha }}\text{ d}t\text{ d}s\hfill \\ \hfill 2_{[0,1]^2}\frac{|K_{H(t)}f(t)K_{H(t)}f(s)|^2}{|ts|^{2+2\alpha }}\text{ d}t\text{ d}s\\ \hfill +2_{[0,1]^2}\frac{|K_{H(t)}f(s)K_{H(s)}f(s)|^2}{|ts|^{2+2\alpha }}\text{ d}t\text{ d}s\\ \hfill cf_^2^2_{[0,1]^2}\frac{|ts|^{2\gamma }}{|ts|^{1+2\alpha }}\text{ d}t\text{ d}s+cf_^2^2_{[0,1]^2}\frac{|H(t)H(s)|^2}{|ts|^{2+2\alpha }}\text{ d}t\text{ d}s.\end{array}$$

The right-hand-side is finite by hypothesis and thus $`K`$ is continuous from $`^2`$ into $`𝒮_{1/2+\alpha ,2}.`$

## 4 Stratonovitch integral

Starting from scratch and trying to define a stochastic integral with respect to $`X`$ by a limit of a sequence of finite sums, we have two main choices: Either we discretize $`X`$ (or more probably $`dX`$) or we discretize $`B`$ (likely $`dB`$) and then derive a discretization of $`dX.`$ The first approach yields two possibilities: for a partition $`\pi `$ whose points are denoted by $`0=t_0<t_1<\mathrm{}<t_n=T,`$ we can consider

$`\text{RS}_\pi (u)`$ $`={\displaystyle \underset{t_i\pi }{}}u(t_i)\mathrm{\Delta }X_i\text{ or}`$ (9)
$`\text{SS}_\pi (u)`$ $`={\displaystyle \underset{t_i\pi }{}}{\displaystyle \frac{1}{\delta _i}}({\displaystyle _{t_i}^{t_{i+1}}}u(s)\text{ d}s)\mathrm{\Delta }X_i,`$ (10)
where $`\delta _i=t_{i+1}t_i`$ and $`\mathrm{\Delta }X_i=X(t_{i+1})X(t_i).`$ They are both reminiscences of respectively Riemann and Skorohod-Stratonovitch sums as defined in \[Nua95\].

In the other approach, we first linearize $`B`$ and then look at the approximation of $`X`$ it yields to. Let

$$B^\pi (t)=B(t_i)+\frac{1}{\delta _i}\mathrm{\Delta }B_i(tt_i)\text{ for }t[t_i,t_{i+1}),$$

and

$`X^\pi (t)`$ $`={\displaystyle \underset{t_i\pi }{}}{\displaystyle \frac{1}{\delta _i}}{\displaystyle _{t_i}^{t_{i+1}}}K(t,s)𝑑s\mathrm{\Delta }B_i`$
$`={\displaystyle \underset{t_i\pi }{}}{\displaystyle \frac{1}{\delta _i}}K(\mathrm{𝟏}_{[t_i,t_{i+1}]})(t)\mathrm{\Delta }B_i.`$
It follows that it is reasonable to consider

$$R_T^\pi (u):=\underset{t_i\pi }{}\frac{1}{\delta _i}\left\{_0^Tu(t)\frac{d}{dt}K(\mathrm{𝟏}_{[t_i,t_{i+1}]})(t)\text{ d}t\right\}\mathrm{\Delta }B_i,$$

under the additional hypothesis that for any $`b>0,`$ the function $`K(\mathrm{𝟏}_{[0,b]})`$ is differentiable with a square integrable derivative. For $`u`$ sufficiently smooth in the sense of the calculus of variations, we have

$$\begin{array}{c}R_T^\pi (u)=\delta \left(\underset{t_i\pi }{}\frac{1}{\delta _i}_0^Tu(t)\frac{d}{dt}K(\mathrm{𝟏}_{[t_i,t_{i+1}]})(t)𝑑t\mathrm{𝟏}_{[t_i,t_{i+1}]}\right)\hfill \\ \hfill +\underset{t_i\pi }{}\frac{1}{\delta _i}_{t_i}^{t_{i+1}}_0^T_ru(t)\frac{d}{dt}K(\mathrm{𝟏}_{[t_i,t_{i+1}]})(t)\text{ d}t\text{ d}r.\end{array}$$

Using $`𝒦_T^{},`$ the formal adjoint of $`𝒦:=I_{0^+}^1K`$ on $`^2([0,T]),`$ we have

$$\begin{array}{c}R_T^\pi (u)=\delta \left(\underset{t_i\pi }{}\frac{1}{\delta _i}_{t_i}^{t_{i+1}}𝒦_T^{}u(t)\text{ d}t\right)+\underset{t_i\pi }{}\frac{1}{\delta _i}\underset{[t_i,t_{i+1}]^2}{}𝒦_T^{}(_ru)(t)\text{ d}t\text{ d}r.\hfill \end{array}$$
(11)
We now recognize the Skorohod-Stratonovitch sum associated to the standard Brownian motion $`B`$ and to the integrand $`𝒦_T^{}u.`$ For the sequel to be meaningful, we need to assume that the map $`𝒦`$ exists. This is guaranteed for $`\alpha 1/2,`$ since $`_{\alpha +1/2,2}^+`$ is embedded in the set of absolutely continuous functions with square integrable derivative, but for $`\alpha <1/2,`$ we need to introduce an additional hypothesis.

###### Hypothesis II.

We assume that for any $`T[0,1],`$ the map $`𝒦=I_{0^+}^1K`$ is a densely defined, closable operator from $`^2([0,T])`$ into itself and that its domain contains a dense subset, $`𝒟,`$ stable by the maps $`p_T,`$ for any $`T[0,1],`$ where $`p_Tff\mathrm{𝟏}_{[0,T)}.`$ We denote by $`𝒦_T^{}`$ its adjoint in $`^2([0,T]).`$ We assume furthermore that $`𝒦_1^{}`$ is continuous from $`_{1/2\alpha ,p}^1^{}`$ into $`^2([0,T]),`$ for any $`p2.`$

###### Remark 4.1.

In the preceding examples, $`𝒟`$ may be taken to $`_{(1/2\alpha )^+,2}.`$

###### Remark 4.2.

For the sake of simplicity, we will speak of the domains of $`𝒦`$ and $`𝒦_T^{}`$ independently of the position of $`\alpha `$ with respect to $`1/2.`$ It must be plain that for $`\alpha >1/2,`$ $`\mathrm{Dom}𝒦=^2([0,1])`$ and $`\mathrm{Dom}𝒦_T^{}=^2([0,T]).`$

###### Remark 4.3.

Since $`I_1^{}^1(\epsilon _t)=\mathrm{𝟏}_{[0,t]},`$ we have

$$𝒦^{}(\mathrm{𝟏}_{[0,t]})=K^{}(\epsilon _t)=K(t,.).$$

This means that $`𝒦_t^{}`$ is identical to the operator denoted by $`I_t^{K_H}`$ in \[CCM02\].

###### Notation 1.

For any $`p1,`$ we denote by $`p^{}`$ the conjugate of $`p.`$ For any linear map $`A,`$ we denote by $`A_T^{},`$ its adjoint in $`^2([0,T]).`$ We denote by $`c`$ any irrelevant constant appearing in the computations, $`c`$ may vary from one line to another.

###### Definition 4.1.

Assume that Hypothesis I holds for $`\alpha 1/2.`$ We say that $`u`$ is Stratonovitch integrable on $`[0,T]`$ whenever the family $`\text{R}_T^\pi (u),`$ defined in (11), converges in probability as $`|\pi |`$ goes to $`0.`$ In this case the limit will be denoted by $`_0^Tu_s\text{ d}X_s.`$

This definition could be theoretically extended to $`\alpha <1/2`$ but would be practically unusable. Indeed, as we shall see below, when $`\alpha <1/2,`$ the convergence of the second sum of $`R_T^\pi (u)`$ requires that $`u`$ belongs to $`_{1+\eta \alpha ,2}`$ for some $`\eta >0`$ and $`𝒦_T^{}`$ to be continuous from this space to a space of Holderian functions. Since $`1+\eta \alpha 1/2>0,`$ the two spaces $`I_{0^+}^{1+\eta \alpha }(^2([0,T]))`$ and $`I_T^{}^{1+\eta \alpha }(^2([0,T]))`$ are not canonically isomorphic (if $`u`$ belongs to the first one then $`u(0)=0`$ whereas when $`u`$ belongs to the latter, $`u(T)=0`$). We thus have to specify to which one $`u`$ belongs exactly. In view of the example of the Lévy fractional Brownian where $`𝒦_T^{}=I_T^{}^{H1/2},`$ it is more convenient to assume that $`u`$ belongs to $`I_T^{}^{1+\eta H}(^2([0,T]))`$ and thus that $`u(T)`$ is equal to $`0.`$ That raises a problem because the restriction of an element of $`I_T^{}^{1+\eta H}(^2([0,T]))`$ to a shorter interval, say $`[0,S],`$ does not belong $`I_S^{}^{1+\eta H}(^2([0,S]))`$ so that, we can’t see $`_0^Su(r)\text{ d}X_r`$ as $`_0^Tu(r)\mathrm{𝟏}_{[0,S]}(r)\text{ d}X_r.`$

On the other hand, since $`(uu(S))\mathrm{𝟏}_{[0,S]}`$ belongs to $`I_S^{}^{1+\eta H}(^2([0,S]))`$ as soon as $`u`$ belongs to $`I_T^{}^{1+\eta H}(^2([0,T])),`$ it is reasonable to consider $`R_T^\pi (uu(T)).`$ For the limit to stay the same, we have to add the term $`u(T)X(T).`$ Indeed, the well known relationship (see \[Nua95, Ü95\])

$$\delta (a\xi )=a\delta \xi _0^1_ra\xi (r)\text{ d}r,$$
(12)
for $`a𝔻_{2,1}`$ and $`\xi ^2(\mathrm{\Omega }\times [0,1]),`$ entails that

$$R_T^\pi (u)=R_T^\pi (uu(T))+u(T)X^\pi (T).$$
(13)
As a conclusion, for $`\alpha <1/2,`$ the definitive definition is

###### Definition 4.2 (Definition for $`\alpha <1/2`$).

Assume that Hypothesis I and II hold for $`\alpha <1/2.`$ We say that $`u`$ is Stratonovitch integrable on $`[0,T],`$ whenever the family $`\text{R}_T^\pi (uu(T))`$ converges in probability as $`|\pi |`$ goes to $`0.`$ In this case, we set

$$_0^Tu_s\text{ d}X_s=\underset{|\pi |0}{lim}R_T^\pi (uu(T))+u(T)X(T).$$
(14)
In view of the preceding discussion, the following lemma will play a key role in the sequel.

###### Lemma 4.1.

For $`T(0,1],`$ let $`p_Tf`$ denote the restriction of $`f`$ to $`[0,T).`$ For any $`f\mathrm{Dom}𝒦_1^{},`$ $`f`$ belongs to $`\mathrm{Dom}𝒦_T^{},`$ $`p_Tf`$ belongs to $`\mathrm{Dom}𝒦_1^{}`$ and we have

$$p_T𝒦_1^{}(p_Tf)𝒦_T^{}(f).$$
(15)
###### Proof.

Since $`K`$ is triangular, for $`g𝒟,`$ $`p_Tg`$ belongs to $`\mathrm{Dom}𝒦`$ and $`p_TKg=p_TK(p_Tg)=Kp_Tg.`$ By derivation, it follows that $`p_T𝒦g=p_T𝒦p_Tg=𝒦p_Tg,`$ so that, for $`f\mathrm{Dom}𝒦_1^{},`$

$`|{\displaystyle _0^t}f(s)𝒦g(s)\text{ d}s|`$ $`=|{\displaystyle _0^1}(p_Tf)(s)𝒦g(s)\text{ d}s|`$
$`=|{\displaystyle _0^1}f(s)(p_T𝒦g)(s)\text{ d}s|`$
$`=|{\displaystyle _0^1}f(s)𝒦(p_Tg)(s)\text{ d}s|`$
$`cp_Tg_{^2([0,1])}=cg_{^2([0,T])}.`$
By density, this identity remains true for $`g\mathrm{Dom}𝒦,`$ thus this means that $`f`$ belongs to $`\mathrm{Dom}𝒦_T^{}`$ and that $`p_Tf`$ belongs to $`\mathrm{Dom}𝒦_1^{}.`$

For $`g^2([0,T])\mathrm{Dom}𝒦,`$ we denote by $`\stackrel{~}{g}`$ its extension to $`^2([0,T])`$ defined by $`\stackrel{~}{g}(s)=0`$ whenever $`sT.`$ We have

$`{\displaystyle _0^T}p_T𝒦_1^{}p_Tf(s)g(s)\text{ d}s`$ $`={\displaystyle _0^1}𝒦_1^{}p_Tf(s)p_T\stackrel{~}{g}(s)\text{ d}s`$
$`={\displaystyle _0^1}p_Tf(s)𝒦(p_T\stackrel{~}{g})(s)\text{ d}s`$
$`={\displaystyle _0^T}f(s)𝒦g(s)\text{ d}s`$
$`={\displaystyle _0^T}𝒦_T^{}f(s)g(s)\text{ d}s,`$
where the last equality follows by the first part of the proof and the definition of the adjoint of a linear map. Since $`g`$ can be arbitrary, (15) follows by identification. ∎

###### Theorem 4.1.

Let $`\alpha <1/2`$ and $`p2.`$ Assume that Hypothesis I and II hold. Assume furthermore that there exists $`\sigma >1/p`$ and $`\eta >0,`$ such that $`𝒦_1^{}`$ is continuous from $`_{\sigma ,p}^1^{}`$ into $`\mathrm{Hol}(\eta ).`$ If $`u`$ belongs to $`𝔻_{p,1}(_{\sigma +\epsilon ,p}^1^{}),`$ for some $`\epsilon >0,`$ then for any $`T[0,1],`$ there exists a measurable and integrable process, denoted by $`\stackrel{~}{D}_Tu`$ such that, for any $`s,`$ any $`0a<b<1,`$

$$\begin{array}{c}\text{E}\left[_a^b|𝒦_T^{}(_r(uu(T)))(s)\stackrel{~}{D}_Tu(r)|^p\text{ d}r\right]\hfill \\ \hfill c\text{E}\left[_0^1|sr|^{p\eta }_ru_{_{\sigma +\epsilon ,p}^1^{}}^p\text{ d}r\right].\end{array}$$
(16)
Moreover,

$$\text{E}\left[_0^.\stackrel{~}{D}_Tu(r)\text{ d}r_{_{1,p}^+}^p\right]cu_{𝔻_{p,1}(_{\sigma +\epsilon ,p}^1^{})}^p.$$
(17)
###### Proof.

Since $`\sigma >1/p,`$ $`u`$ is continuous and we can speak unambiguously of $`u(T).`$ The assumed continuity of $`𝒦_1^{}`$ entails that $`𝒦_T^{}(uu(T))`$ belongs to $`𝔻_{p,1}(\mathrm{Hol}(\eta ))`$ and that

$$\begin{array}{c}\text{E}\left[_a^b|_r𝒦_T^{}(uu(T))(s)_r𝒦_T^{}(uu(T))(\tau )|^p\text{ d}r\right]\hfill \\ \hfill c\text{E}\left[_0^1|s\tau |^{p\eta }_ru_{_{\sigma +\epsilon ,p}^1^{}}^p\text{ d}r\right].\end{array}$$
(18)
Consider $`(\rho _n,n1)`$ a one-dimensional positive mollifier, we can define $`\text{P}\text{ d}r`$ a.s., $`\stackrel{~}{D}_Tu(s)`$ by

$$\stackrel{~}{D}_Tu(r)=\underset{n\mathrm{}}{lim}_0^T\rho _n(\tau )𝒦_T^{}(_ru)(\tau r)\text{ d}\tau .$$

Hence, $`\stackrel{~}{D}_Tu(r)`$ is measurable with respect to $`(\omega ,r)`$ and according to (18), we have (16). Substituting $`0`$ to $`s`$ (18), we get

$$\text{E}\left[_0^T|\stackrel{~}{D}_Tu(r)|^p\text{ d}s\right]cu_{𝔻_{p,1}(_{\sigma ,p}^1^{})}^p.$$

This means that $`_0^.\stackrel{~}{D}_Tu(s)\text{ d}s`$ belongs to $`_{1,p}^+`$ and that (17) holds. ∎

* In this case, $`𝒦_1^{}=I_1^{}^{H1/2}`$ is continuous from $`_{\sigma ,p}^1^{}`$ into $`_{\sigma +\alpha 1/2,p}^+.`$ This latter space is embedded in a space of Hölderian functions provided that $`\sigma >1/2\alpha +1/p.`$ $``$

* According to \[SKM93\], $`𝒦_1^{}=x^{1/2H}I_1^{}^{H1/2}x^{H1/2}`$ and since since $`2(1+H1/2)=2H+1>1,`$ we infer from \[SKM93, Lemma 10.1\] that $`𝒦_1^{}`$ is continuous from $`_{\sigma ,p}^1^{}`$ into $`_{\sigma +\alpha 1/2,p}^+,`$ for any $`\sigma 0.`$ $``$

###### Theorem 4.2.

Let $`\alpha <1/2`$ and $`p2.`$ Assume that Hypothesis I and II hold. Assume furthermore that there exists $`\sigma >1/p`$ and $`\eta >0,`$ such that $`𝒦_1^{}`$ is continuous from $`_{\sigma ,p}^1^{}`$ into $`\mathrm{Hol}(\eta ).`$ If $`u`$ belongs to $`𝔻_{p,1}(_{\sigma +\epsilon ,p}^1^{}),`$ for some $`\epsilon >0,`$ then $`u`$ is Stratonovitch integrable on $`[0,T]`$ for any $`T[0,1],`$ and

$$_0^Tu(s)\text{ d}X_s=\delta (𝒦_T^{}u)+_0^T\stackrel{~}{D}_Tu(s)\text{ d}s+u(T)X(T).$$
(19)
###### Proof.

For the latest sum of $`R_T^\pi (uu(T)),`$ we have according to Theorem 4.1,

$$\begin{array}{c}\text{E}\left[\left|\underset{t_i\pi }{}\frac{1}{\delta _i}_{t_i}^{t_{i+1}}_{t_i}^{t_{i+1}}𝒦_T^{}_r(uu(T))(s)\text{ d}s\text{ d}r_0^T\stackrel{~}{D}_Tu(r)\text{ d}r\right|^p\right]\hfill \\ \hfill \begin{array}{cc}\hfill & c\text{E}[\underset{t_i\pi }{}\frac{1}{\delta _i}_{t_i}^{t_{i+1}}_{t_i}^{t_{i+1}}|𝒦_T^{}(_r(uu(T))(s)\stackrel{~}{D}_Tu(r)|^p\text{ d}s\text{ d}r]\hfill \\ \hfill & c\text{E}\left[\underset{t_i\pi }{}\frac{1}{\delta _i}_{t_i}^{t_{i+1}}_{t_i}^{t_{i+1}}|sr|^{p\eta }_ru_{_{\sigma +\epsilon ,p}^1^{}}^p\text{ d}s\text{ d}r\right]\hfill \\ \hfill & c|\pi |^{p\eta }u_{𝔻_{p,1}(_{\sigma +\epsilon ,p}^1^{})}^p.\hfill \end{array}\end{array}$$

Therefore, the latest sum of $`R_T^\pi (uu(T))`$ converges in $`L^p(\mathrm{\Omega })`$ (and thus in probability) to $`_0^T\stackrel{~}{D}_Tu(s)\text{ d}s.`$ In order to conclude, note that in virtue of the continuity of the divergence, the first term of $`R_T^\pi (uu(T))`$ tends to $`\delta (𝒦_T^{}(uu(T))),`$ see \[Nua95\]. ∎

###### Lemma 4.2.

Under the assumptions of Theorem 4.2, for any $`0ST1,`$ $`u\mathrm{𝟏}_{[0,S]}`$ is Stratonovitch integrable on $`[0,T]`$ and we have

$$_0^T(u(r)u(S))\mathrm{𝟏}_{[0,S]}(r)\text{ d}X_r=_0^Su(r)\text{ d}X_r,$$
(20)
for any $`0ST1.`$

###### Proof.

According to Eqn. (12) and to Lemma 4.1, we have

$$R_T^\pi (p_S(uu(S)))=R_S^\pi (uu(S))+u(S)X^\pi (S).$$

According to Theorem 4.2, the right-hand-side sum converges so that $`u\mathrm{𝟏}_{[0,S]}`$ is Stratonovitch integrable on $`[0,T]`$ and Eqn. (20) follows by remarking that $`p_S(uu(S))(T)=0.`$

###### Remark 4.4.

For the hypothesis “ $`𝒦_1^{}`$ is continuous from $`_{\sigma ,p}^1^{}`$ into $`\mathrm{Hol}(\eta )`$” to hold, in view of the examples cited above, this requires that $`\sigma `$ to be greater than $`1/2\alpha +1/p+\eta .`$

For $`\alpha >1/2,`$ the map $`𝒦`$ is still a regularizing operator so that the hypothesis are much weaker. Following the very same lines, we can prove:

###### Theorem 4.3.

Let $`\alpha >1/2.`$ Assume that Hypothesis I holds. Assume furthermore that $`𝒦_1^{}`$ is continuous from $`^p`$ into $`_{\alpha 1/2,p}^{}`$ for some $`p>(\alpha 1/2)^1.`$ If $`u`$ belongs to $`𝔻_{p,1}(^p),`$ then, for any $`T[0,1],`$ there exists a measurable and integrable process, denoted by $`\stackrel{~}{D}_Tu`$ such that, for almost any $`r,`$

$$\text{E}\left[|_r𝒦_T^{}u(s)\stackrel{~}{D}_Tu(r)|^p\right]^{1/p}c|sr|^{\alpha 1/21/p}_ru_{L^p(\mathrm{\Omega }\times [0,1])}.$$

Moreover,

$$\text{E}\left[_0^.\stackrel{~}{D}u(r)\text{ d}r_{\mathrm{Hol}(11/p)}^p\right]cu_{𝔻_{p,1}(^p)}^p.$$

###### Theorem 4.4.

Assume that Hypothesis I holds for $`\alpha >1/2.`$ Assume furthermore that $`𝒦_1^{}`$ is continuous from $`^p`$ into $`_{\alpha 1/2,p}^{}`$ for some $`p>(\alpha 1/2)^1.`$ If $`u`$ belongs to $`𝔻_{p,1}(^p),`$ then for any $`T[0,1],`$ $`u`$ is Stratonovitch integrable on $`[0,T]`$ and

$$_0^Tu_s\text{ d}X_s=\delta (𝒦_T^{}u)+_0^T\stackrel{~}{D}_Tu(s)\text{ d}s.$$

###### Remark 4.5.

The difference in this case is that $`^p([0,1])`$ is stable by the maps $`p_T`$ so that we immediatly have:

$$_0^Tu(s)\text{ d}X_s=_0^1u(s)\mathrm{𝟏}_{[0,T]}(s)\text{ d}X_s,$$

in both theorems 4.2 and 4.4.

Coming back to $`\text{SS}_\pi (u),`$ we have:

$$\begin{array}{c}\text{SS}_\pi (u)=\delta \left(\underset{t_i\pi }{}\frac{1}{\delta _i}_{t_i}^{t_{i+1}}u_s\text{ d}s(K(t_{i+1},.)K(t_i,.))\right)\hfill \\ \hfill +\underset{t_i\pi }{}\frac{1}{\delta _i}_{t_i}^{t_{i+1}}(K(.u_s)(t_{i+1})K(.u_s)(t_i))\text{ d}s\end{array}$$

The trace-like term is similar to those we had to treat in the previous theorems. The difference is that its limit is formally $`_0^1(𝒦)_su(s)\text{ d}s`$ instead of $`_0^1(𝒦_1^{}u)(s)\text{ d}s`$ in Theorems 4.1 and 4.3. We thus need some regularity of the map $`s_su(r)`$ which is something less easy to verify than properties on the map $`s_ru(s).`$ This restriction reduces the interest of this approach.

###### Theorem 4.5.

Assume that Hypothesis I holds for $`\alpha >1/2.`$ Assume furthermore that $`𝒦`$ is continuous from $`^p([0,1])`$ into $`_{\alpha 1/2,p}^{}`$ for some $`p>(\alpha 1/2)^1.`$ If $`u`$ belongs to $`𝔻_{p,1}(^p([0,1])),`$ then there exists a measurable and integrable process, denoted by $`\widehat{D}u`$ such that, for almost any $`r,`$

$$\text{E}\left[|(𝒦)_su(r)\widehat{D}u(r)|\right]c|sr|^\eta D_.u(r)_{𝔻_{p,1}(^p([0,1]))}.$$
(21)
Moreover,

$$\text{E}\left[_0^.\widehat{D}u(r)\text{ d}r_{\mathrm{Hol}(11/p)}^p\right]cu_{𝔻_{p,1}(^p([0,1]))}^p.$$
(22)
Furthermore, $`𝒦_T^{}u`$ belongs to $`\mathrm{Dom}\delta `$ and the family $`\text{SS}_\pi (u)`$ converges in $`L^2(\mathrm{\Omega })`$ to $`\delta (𝒦_T^{}u)+_0^T\widehat{D}u(s)\text{ d}s.`$

###### Remark 4.6.

For $`u`$ belonging to $`𝔻_{p,1}(^p([0,1]))`$ and cylindric, it is easy to see that

$$_0^1\widehat{D}u(r)\text{ d}r=_0^1\widehat{D}_1u(r)\text{ d}r.$$
(23)
According to (22) and (4.3), this remains true for any $`u𝔻_{p,1}(^p([0,1])).`$

###### Remark 4.7.

For $`\alpha <1/2,`$ one could also state a similar theorem but it would be practically of little use since it is rather hard to determine whether

$$\text{E}\left[_0^1_.u(s)_{𝒮_{1+\eta \alpha ,2}}^2\text{ d}s\right]\text{ is finite.}$$

## 5 Regularity

There are two kinds of regularity results which may be interesting : continuity with respect to the time variable and continuity with respect to the kernel. Actually, when one thinks to the generalized fBm (see Example 3), the complete identification of the model requires the perfect knowledge of the function $`H.`$ Since that seems out of reach, one can naturally ask how much an error on $`H`$ will modify the stochastic integral of a given integrand. The trace-like term can be controlled via theorems 4.3 and 4.1. We are now interested in the divergence part. We denote by $`𝒦_1^{}_{\alpha ,p},`$ the norm of $`𝒦_1^{}`$ as a map from $`_{\alpha 1/2,p}^{}`$ into $`^p.`$

###### Theorem 5.1.

Let $`\alpha (0,1/2)`$ and $`1<p<(1/2\alpha )^1,`$ assume that assumptions I and II hold. Assume furthermore that there exists $`\epsilon (0,1/p(1/2\alpha ))`$ such that $`u`$ belongs to $`𝔻_{p,1}(_{1/2\alpha +\epsilon ,p}).`$ Then, the process $`\{\delta (𝒦_t^{}u),t[0,1]\}`$ admits a modification with $`\stackrel{~}{\epsilon }`$-Hölder continuous paths for any $`\stackrel{~}{\epsilon }<\epsilon ,`$ and we have the maximal inequality :

$$\delta (𝒦_.^{}u)_{L^p(\mathrm{\Omega };_{1/p^{}+\stackrel{~}{\epsilon },p^{}}^+)}c𝒦^{}_{\alpha ,p}u_{𝔻_{p,1}(_{1/2\alpha +\epsilon ,p})}.$$

###### Proof.

Since $`1/2\alpha +\epsilon `$ is strictly less than $`1/p,`$ we know that for any $`T[0,1],`$ $`p_Tu`$ belongs to $`_{1/p\alpha +\epsilon ,p},`$ see Proposition 2.1. In view of Lemma 4.1, we have $`\delta (𝒦_t^{}u)=\delta (𝒦_1^{}(u\mathrm{𝟏}_{[0,t]})).`$ Therefore, for $`g𝒞^{\mathrm{}}`$ and $`\psi `$ a cylindric real-valued functional,

$$\begin{array}{c}\text{E}\left[_0^1\delta 𝒦_1^{}(u\mathrm{𝟏}_{[0,t]})g(t)\text{ d}t\psi \right]=\text{E}\left[_{[0,1]^2}𝒦_1^{}(u\mathrm{𝟏}_{[0,t]})(r)g(t)_r\psi \text{ d}t\text{ d}r\right]\hfill \\ \hfill =\text{E}\left[_0^1𝒦_1^{}(uI_1^{}^1g)(r)_r\psi \text{ d}r\right]=\text{E}[\delta (𝒦_1^{}(u.I_1^{}^1g)\psi ].\end{array}$$

Thus,

$$_0^1\delta (𝒦_t^{}u)g(t)\text{ d}t=\delta (𝒦_1^{}(u.I_1^{}^1g))\text{ }\text{P}\text{-a.s..}$$
(24)
Since $`p<(1/2\alpha )^1,`$ $`1/2\alpha <1/p,`$ we can then apply Corollary 2.1 with $`t=1/2\alpha ,`$ $`r=1/p\stackrel{~}{\epsilon }`$ and $`s=1/2\alpha +\epsilon .`$ Since $`g`$ is deterministic, we have

$$\delta (𝒦_1^{}(u.I_1^{}^1g))_{L^p(\mathrm{\Omega })}c𝒦^{}_{\alpha ,p}u_{𝔻_{p,1}(_{1/2\alpha +\epsilon ,p})}I_1^{}^1g_{_{1/p\stackrel{~}{\epsilon },p}}.$$
(25)
We then obtain that for $`\psi L^p^{}(\mathrm{\Omega }),`$ for $`g(_{1/p1\stackrel{~}{\epsilon },p}^{})^{},`$

$$\begin{array}{c}|\text{E}\left[_0^1\delta 𝒦_1^{}(u\mathrm{𝟏}_{[0,t]})g(t)\text{ d}t\psi \right]|\hfill \\ \hfill c𝒦^{}_{\alpha ,p}\psi _{L^p^{}(\mathrm{\Omega })}g_{(_{1/p1\stackrel{~}{\epsilon },p}^{})^{}}u_{𝔻_{2,1}(𝒮_{1/2\alpha ,p})}.\end{array}$$
(26)
It follows that $`\{\delta (𝒦_t^{}u),t[0,1]\}`$ belongs to $`(L^p^{}(\mathrm{\Omega };_{1+1/p\stackrel{~}{\epsilon },p}^{}))^{},`$ which is isomorphic to $`L^p(\mathrm{\Omega };_{11/p+\stackrel{~}{\epsilon },p^{}}^+),`$ and that

$$\delta (𝒦_.^{}u)_{L^p(\mathrm{\Omega };_{1/p^{}+\stackrel{~}{\epsilon },p^{}}^+)}c𝒦^{}_{\alpha ,p}u_{𝔻_{p,1}(_{1/2\alpha +\epsilon ,p})}.$$

This induces that there exists a modification of $`\{\delta (𝒦_t^{}u),t[0,1]\}`$ with $`\stackrel{~}{\epsilon }`$-Hölder continuous sample-paths. ∎

###### Remark 5.1.

Note that $`1`$ belongs to $`_{1/2\epsilon ,2}`$ for any $`\epsilon >0,`$ thus we retrieve that $`X_t=\delta (𝒦_1^{}p_tu)`$ has a version with $`(\alpha \epsilon )`$-Hölder continuous sample-paths.

If $`\epsilon >1/p1/2+\alpha ,`$ we cannot apply Lemma 2.1 any more, since $`s=1/2\alpha +\epsilon `$ would be greater than $`1/p.`$ This is more than a technical problem: in this situation, i.e., $`u_{\epsilon +1/2\alpha ,p},`$ $`u`$ is continuous and $`p_Tu`$ does not necesssary belongs to $`_{\epsilon +1/2\alpha ,p},`$ so that the whole principle of the above proof fails. However, as Lemma 2.3 shows, if we consider $`p_T(uu(T))`$ instead of $`P_Tu,`$ this function belongs to $`_{\epsilon +1/2\alpha ,p},`$ for a smaller $`\epsilon .`$ Thus, we have:

###### Theorem 5.2.

Let $`\alpha (0,1/2)`$ and $`p>1,`$ assume that assumptions I and II hold. Assume furthermore that there exists $`\epsilon ((1/p1/2+\alpha )^+,1)`$ such that $`u`$ belongs to $`𝔻_{p,1}(_{\epsilon +1/2\alpha ,p}^{}).`$ Then, for any $`\stackrel{~}{\epsilon }<\epsilon ,`$ the process $`\{\delta (𝒦_t^{}(uu(t))),t[0,1]\}`$ admits a modification with $`\stackrel{~}{\epsilon }`$-Hölder continuous paths and we have the maximal inequality :

$$\delta (𝒦_.^{}(uu(.)))_{L^p(\mathrm{\Omega };_{1/p^{}+\stackrel{~}{\epsilon },p^{}}^+)}c𝒦^{}_{\alpha ,p}u_{𝔻_{p,1}(_{\epsilon +1/2\alpha ,p}^{})}.$$
(27)
###### Proof.

Note that we are allowed to consider $`uu(t)`$ since $`1/p1/2+\alpha <\epsilon `$ implies that $`\epsilon +1/2\alpha >1/p`$ and thus that $`_{\epsilon +1/2\alpha ,p}^{}`$ is embedded in $`\mathrm{Hol}(\epsilon +1/2\alpha 1/p).`$ The very same techniques as above show that

$$_0^1\delta (𝒦_t^{}(uu(t)))g(t)\text{ d}t=\delta (𝒦_1^{}(uI_1^{}^1gI_1^{}^1(ug))),\text{ }\text{P}\text{ a.s..}$$

A classical integration by parts and then a fractional integration by parts (see (2)) give that

$$_0^1\delta (𝒦_t^{}(uu(t)))g(t)\text{ d}t=\delta (𝒦_1^{}(I_1^{}^1(I_{0^+}^\zeta uI_1^{}^\zeta g))),\text{P}\text{ a.s..}$$

Now, we clearly have

$$I_1^{}^1(I_{0^+}^\zeta uI_1^{}^\zeta g)_{_{1/2\alpha ,p}}=I_{0^+}^\zeta uI_1^{}^\zeta g_{_{1/2\alpha ,p}}.$$

Applying Corollary 2.1 with $`\zeta =1/2\alpha +\epsilon 1/p+\epsilon ^{},`$ $`t=(1/2+\alpha ),`$ $`s+\zeta =1/2\alpha +\epsilon `$ and $`r+s=t+1/p+\epsilon ^{}`$ for some $`\epsilon ^{}>0`$ sufficiently small, we get

$`𝒦_1^{}(I_1^{}^1(I_{0^+}^\zeta uI_1^{}^\zeta g))_^p`$ $`cI_{0^+}^\zeta u_{_{s,p}^{}}I_1^{}^\zeta g_{_{r,p}^{}}`$
$`=cu_{_{s+\zeta ,p}^{}}g_{_{r\zeta ,p}^{}}`$
$`=cu_{_{1/2\alpha +\epsilon ,p}^{}}g_{_{1+1/p\epsilon +\epsilon ^{},p}^{}}.`$
It follows as in the previous proof that $`\{\delta (𝒦_t^{}(uu(t))),t0\}`$ belongs to $`L^p(\mathrm{\Omega };_{1/p^{}+\stackrel{~}{\epsilon },p^{}}^+)`$ (with $`\stackrel{~}{\epsilon }=\epsilon \epsilon ^{}`$) and that the maximal inequality (27) holds. ∎

###### Theorem 5.3.

For any $`\alpha [1/2,1),`$ assume that assumption I holds. Let $`u`$ belong to $`𝔻_{p,1}(^p)`$ with $`\alpha p>1.`$ The process $`\{\delta (𝒦_t^{}u),t[0,1]\}`$ admits a modification with $`(\alpha 1/p)`$-Hölder continuous paths and we have the maximal inequality :

$$\delta (𝒦_.^{}u)_{L^p(\mathrm{\Omega };\mathrm{Hol}(\alpha 1/p))}c𝒦_1^{}_{\alpha ,2}u_{𝔻_{p,1}}.$$

###### Proof.

We begin as in Theorem 5.1 until Eqn. (24). Since $`\alpha >1/2,`$ it is clear that $`𝒦`$ is continuous from $`^2([0,1])`$ into $`_{\alpha 1/2,2}`$ thus that $`𝒦^{}`$ is continuous from $`_{\alpha 1/2,2}^{}`$ in $`^2([0,1]).`$ Since $`_{\alpha 1/2,2}`$ is continuously embedded in $`^{(1\alpha )^1},`$ it follows that $`^{1/\alpha }=(^{1/(1\alpha )})^{}`$ is continuously embedded in $`_{1/2\alpha ,2}.`$ Since $`u`$ belongs to $`𝔻_{p,1}(^p),`$ the generalized Hölder inequality implies that

$$uI_1^{}^1g_{^{1/\alpha }}u_^pI_1^{}^1g_{^{(\alpha 1/p)^1}}.$$

It follows that $`\{\delta (𝒦_t^{}u),t[0,1]\}`$ belongs to $`L^p(\mathrm{\Omega };_{1,(1\alpha +1/p)^1}^+)`$ with

$$\delta (𝒦_.^{}u)_{L^p(\mathrm{\Omega };_{1,(1\alpha +1/p)^1}^+)}c𝒦_1^{}_{\alpha ,2}u_{𝔻_{p,1}}.$$

The proof is completed remarking that $`11/(1\alpha +1/p)^1=\alpha 1/p`$ so that $`_{1,(1\alpha +1/p)^1}^+`$ is embedded in $`\mathrm{Hol}(\alpha 1/p).`$

###### Remark 5.2.

These results extend similar results in \[AMN01\] in the sense that the assumptions on the kernel and on the integrand are here much weaker for the same conclusion.

## 6 Itô Formula

We are now interested in non-linear transformations of Itô-like processes:

$$Z(t)=z+_0^tu(s)\text{ d}X_s,$$
(28)
for a sufficiently regular $`u.`$ The Itô formula for fBm-like processes has already a long history. There are two technical barriers: it is relatively easy to prove Itô formula for $`\alpha >1/2,`$ since we then have a process more regular than the ordinary Brownian motion and all the limiting procedures are straightforward (cf. \[DH96, DÜ95, DÜ99\]) . Harder is the situation where $`\alpha `$ belongs to $`(0,\mathrm{\hspace{0.17em}1}/2],`$ Alòs et al. \[ALN01\] obtained a formula for the fBm of Hurst index greater than $`1/4.`$ By a very different procedure, Gradinaru et al. \[GRV\] were able to include $`1/4`$ in the domain of validity of the formula. In another different approach, Feyel et al. \[FdlP01\] also gave a formula for any Hurst index via analytic continuation of the formula obtained for $`\alpha 1/2.`$ Carmona et al. \[CCM02\] obtained an Itô formula for $`\alpha >1/6,`$ for a class of processes similar to our so-called Volterra processes.

The following results owes much to the paper \[CCM02\] which shows that it was possible to go beyond the barrier $`1/4,`$ to the paper \[AMN01\] which gives the simplest expression of the Itô formula and to the work \[GRV\] which emphasizes the importance of symmetrization. Actually, the key remark is that there exists integrands $`u`$ for which

$$\begin{array}{cc}\hfill R_h(u)& :=h^1_0^1\left(𝒦_1^{}p_{t+h}u(s)𝒦_1^{}p_tu(s)\right)\left(𝒦_1^{}p_{t+h}u(s)+𝒦_1^{}p_tu(s)\right)\text{ d}s\hfill \\ & =h^1_0^1𝒦_1^{}p_{t,t+h}u(s)𝒦_1^{}(p_t+p_{t+h})u(s)\text{ d}s\hfill \\ & =h^1_0^1(𝒦_1^{}p_{t+h}u(s)^2𝒦_1^{}p_tu(s)^2)\text{ d}s,\hfill \end{array}$$
(29)
has a finite limit. If $`u1,`$ since $`\mathrm{𝟏}_{[0,t)}=I_1^{}(\epsilon _t),`$ it follows from the definition of $`𝒦`$ that $`𝒦_1^{}p_t\mathrm{𝟏}=K(t,.)`$ and thus $`R_h(\mathrm{𝟏})=h^1(R(t+h,t+h)R(t,t)),`$ where $`R`$ is the covariance kernel of $`X.`$ For instance, if $`X`$ is the fBm with stationary increments, this expression is proportional to $`h^1((t+h)^{2\alpha }t^{2\alpha }).`$ The different barriers can be explained from the behavior of this last term, whose limit is clearly $`t^{2\alpha 1}.`$ When $`\alpha >1/2,`$ this is a bounded function of $`t`$ so easily controllable in the limiting procedures. For $`\alpha (1/4,1/2),`$ it is no longer bounded but still in $`^2([0,1]).`$ When, $`\alpha <1/4,`$ we only have an $`^p`$ integrable function for $`1p^1<2\alpha .`$

###### Hypothesis III.

Let $``$ the set of processes such that $`R_h(u),`$ as defined in (29), has a finite limit in $`L^1(\mathrm{\Omega }).`$ We assume that $`𝒦_1^{}`$ is such that $``$ is non-empty.

###### Lemma 6.1.

Let $`\alpha (0,1),`$ be given and assume that hypothesis I, II andIII hold. Let $`u`$ be a cylindric process, belonging to $`.`$ Let

$$n_\alpha :=inf\{n:2n\alpha >1\}.$$

For any $`f𝒞_b^{n_\alpha },`$ i.e., $`n_\alpha `$-times differentiable with bounded derivatives, we have

$$\begin{array}{cc}\hfill \frac{d}{dt}\text{E}\left[f(Z_t)\psi \right]& =\text{E}\left[f^{}(Z_t)(𝒦)_t(u(t)\psi )\right]\hfill \\ & +\frac{1}{2}\text{E}\left[f^{\prime \prime }(Z_t)\psi \frac{d}{dt}_0^1𝒦_1^{}(p_tu)(s)^2\text{ d}s\right]\hfill \\ & +\text{E}\left[u(t)f^{\prime \prime }(Z_t)\psi (𝒦)_t\left(_0^t(𝒦)_ru(r)\text{ d}r\right)\right]\hfill \\ & +\text{E}\left[u(t)f^{\prime \prime }(Z_t)\delta \left((𝒦)_t(𝒦_1^{}p_tu)\right)\psi \right].\hfill \end{array}$$
(30)
###### Proof.

Introduce the function $`g`$ as

$$g(x)=f(\frac{a+b}{2}+x)f(\frac{a+b}{2}x).$$

This function is even, satisfies

$$g^{(2j+1)}(0)=2f^{(2j+1)}((a+b)/2)\text{ and }g(\frac{ba}{2})=f(b)f(a).$$

Applying the Taylor formula to $`g`$ between the points $`0`$ and $`(ba)/2,`$ we get

$$\begin{array}{c}f(b)f(a)=\underset{j=0}{\overset{n1}{}}\frac{2^{2j}}{(2j+1)!}(ba)^{2j+1}f^{(2j+1)}(\frac{a+b}{2})\hfill \\ \hfill +\frac{(ba)^{2n}}{(2n)!}_0^1\lambda ^{2n1}g^{(2n)}(\lambda a+(1\lambda )b)\text{ d}\lambda .\end{array}$$

We thus have

$$\begin{array}{c}\text{E}\left[(f(Z_{t+h})f(Z_t))\psi \right]=\underset{j=0}{\overset{n_\alpha 1}{}}\frac{2^{2j}}{(2j+1)!}\text{E}\left[(ba)^{2j+1}f^{(2j+1)}(\frac{a+b}{2})\psi \right]\hfill \\ \hfill +\frac{1}{2n_\alpha !}\text{E}\left[(Z_{t+h}Z_t)^{(2n_\alpha )}_0^1r^{2n_\alpha 1}g^{(2n_\alpha )}(rZ_t+(1r)Z_{t+h})\text{ d}r\psi \right].\end{array}$$
(31)
We need to prove that, when divided by $`h,`$ the latter quantity has a limit when $`h`$ goes to $`0.`$ It turns out that the sole contributing term is the first one. We first show that $`n_\alpha `$ is chosen sufficiently large so that the last term vanish. Since $`Z`$ belongs $`L^2(\mathrm{\Omega };\mathrm{Hol}(\alpha \epsilon ))`$ for any $`\epsilon >0,`$ and since $`g^{(2n_\alpha )}`$ is bounded, the last term is bounded by a constant times $`h^{2n_\alpha (\alpha \epsilon )}.`$ Hence, this last term divided by $`h`$ vanishes when $`h`$ goes to $`0.`$ We next deal with the first order term. Since $`u`$ is cylindric,

$$Z_t=\delta (𝒦_1^{}p_tu)+_0^t𝒦_1^{}(_sp_tu)(s)\text{ d}s.$$
(32)
Substitute Eqn. (32) into the first order term and use integration by parts formula, this yields to:

$$\begin{array}{c}\text{E}\left[(Z_{t+h}Z_t)f^{}(\frac{Z_t+Z_{t+h}}{2})\psi \right]\hfill \\ \hfill =\text{E}\left[𝒦_1^{}(p_{t,t+h}u)(s)_s(f^{}(\frac{Z_t+Z_{t+h}}{2})\psi )\text{ d}s\right]\\ \hfill +\text{E}\left[f^{}(\frac{Z_t+Z_{t+h}}{2})\psi 𝒦_1^{}(p_{t,t+h}_su)(s)\text{ d}s\right]\\ \hfill =\text{E}\left[f^{}(\frac{Z_t+Z_{t+h}}{2})𝒦_1^{}(p_{t,t+h}u)(s)_s\psi \text{ d}s\right]\\ \hfill +\text{E}\left[f^{\prime \prime }(\frac{Z_t+Z_{t+h}}{2})\psi 𝒦_1^{}(p_{t,t+h}u)(s)_s(\frac{Z_t+Z_{t+h}}{2})\text{ d}s\right]\\ \hfill +\text{E}\left[f^{}(\frac{Z_t+Z_{t+h}}{2})\psi _0^1𝒦_1^{}(p_{t,t+h}_su)(s)\text{ d}s\right]=\underset{i=1}{\overset{3}{}}A_i.\end{array}$$

We can write $`A_1`$ as

$$A_1=\text{E}\left[_t^{t+h}u(s)(𝒦)_s\psi \text{ d}sf^{}(\frac{Z_t+Z_{t+h}}{2})\psi \right],$$

by dominated convergence, it is then easily shown that

$$\underset{h0}{lim}h^1A_1=\text{E}\left[u(t)f^{}(Z_t)(𝒦)_t\psi \right].$$
(33)
By direct calculations, since $`u`$ is cylindric, we have

$$_0^1𝒦_1^{}(p_{t,t+h}_su)(s)\text{ d}s=_t^{t+h}(𝒦)_su(s)\text{ d}s,\text{ thus,}$$

$$\underset{h0}{lim}h^1A_3=\text{E}\left[f^{}(Z_t)\psi (𝒦)_tu(t)\right].$$
(34)
Expanding $`_s(Z_t+Z_{t+h}),`$ we obtain

$$\begin{array}{c}2A_2=\text{E}\left[f^{\prime \prime }(\frac{Z_t+Z_{t+h}}{2})\psi _0^1𝒦_1^{}(p_{t,t+h}u)(s)𝒦_1^{}(p_tu+p_{t+h}u)(s)\text{ d}s\right]\hfill \\ \hfill +\text{E}\left[f^{\prime \prime }(\frac{Z_t+Z_{t+h}}{2})\psi _0^1𝒦_1^{}(p_{t,t+h}u)(s)\delta (𝒦_1^{}(p_t+p_{t+h})_su)\right)\text{ d}s]\\ \hfill +\text{E}[_0^1𝒦_1^{}(p_{t,t+h}u)(s)_s\left(_0^1(p_t+p_{t+h})(𝒦)_ru(r)\text{ d}r\text{ d}r\right)\text{ d}s\\ \hfill \times f^{\prime \prime }(\frac{Z_t+Z_{t+h}}{2})\psi ]=_{i=1}^3B_i.\end{array}$$

According to Hypothesis III,

$$\underset{h0}{lim}h^1B_1=\text{E}\left[\frac{\text{ d}}{\text{ d}t}_0^1𝒦_1^{}(p_tu)(s)^2\text{ d}sf^{\prime \prime }(Z_t)\psi \right].$$
(35)
It is rather clear that

$$\underset{h0}{lim}h^1B_3=2\text{E}\left[u(t)(𝒦)_t(_0^t(𝒦)_ru(r)\text{ d}r)f^{\prime \prime }(Z_t)\psi \right].$$
(36)
To deal with $`B_2,`$ we need to apply once more the integration by parts formula. This gives,

$$\begin{array}{c}B_2=\text{E}[_0^1_0^1𝒦_1^{}(p_{t,t+h}_ru)(s)_s𝒦_1^{}(p_t+p_{t+h})u(r)\text{ d}s\text{ d}r\hfill \\ \hfill \times f^{\prime \prime }(\frac{Z_t+Z_{t+h}}{2})\psi ]\\ \hfill +\text{E}[_0^1𝒦_1^{}(p_{t,t+h}u)(s)_0^1𝒦_1^{}((p_t+p_{t+h})_su)(r)\\ \hfill \times _r(f^{\prime \prime }(\frac{Z_t+Z_{t+h}}{2})\psi )\text{ d}r\text{ d}s].\end{array}$$

It follows from this expression that

$`\underset{h0}{lim}h^1B_2`$ $`=2\text{E}\left[{\displaystyle _0^1}(𝒦)_t(𝒦_1^{}p_tu)(r)_r(u(t)f^{\prime \prime }(Z_t)\psi )\text{ d}r\right]`$
$`=2\text{E}\left[u(t)f^{\prime \prime }(Z_t)\psi \delta \left((𝒦)_t𝒦_1^{}p_tu\right)\right].`$ (37)
The remaining terms are of the form

$$\begin{array}{c}\text{E}\left[(Z_{t+h}Z_t)^{2j+1}f^{(2j+1)}(\frac{Z_t+Z_{t+h}}{2})\psi \right]\hfill \\ \hfill =\text{E}\left[_0^1𝒦_1^{}(p_{t,t+h}u)(s)_s\left((Z_{t+h}Z_t)^{2j}f^{(2j+1)}(\frac{Z_t+Z_{t+h}}{2})\psi \right)\text{ d}s\right]\\ \hfill +\text{E}\left[(Z_{t+h}Z_t)^{2j}f^{(2j+1)}(\frac{Z_t+Z_{t+h}}{2})\psi _0^1𝒦_1^{}(p_{t,t+h}_su)(s)\text{ d}s\right]=C_1+C_2.\end{array}$$

By dominated convergence, it is clear that $`h^1C_2`$ vanishes as $`h`$ goes to $`0.`$ As to $`C_1,`$ it can be splitted into three parts

$$\begin{array}{c}C_1=2j\text{E}[(Z_{t+h}Z_t)^{2j1}f^{(2j+1)}(\frac{Z_t+Z_{t+h}}{2})\psi \hfill \\ \hfill \times _0^1𝒦_1^{}(p_{t,t+h}u)(s)_s(Z_{t+h}Z_t)\text{ d}s]\\ \hfill +\text{E}[(Z_{t+h}Z_t)^{2j}f^{(2j+2)}(\frac{Z_t+Z_{t+h}}{2})\psi \\ \hfill _0^1𝒦_1^{}(p_{t,t+h}u)(s)_s(\frac{Z_t+Z_{t+h}}{2})\text{ d}s]\\ \hfill +\text{E}[(Z_{t+h}Z_t)^{2j}f^{(2j+1)}(\frac{Z_t+Z_{t+h}}{2})\\ \hfill \times _0^1𝒦_1^{}(p_{t,t+h}u)(s)_s\psi \text{ d}s]=_{i=1}^3D_i.\end{array}$$

By dominated convergence, $`h^1D_3`$ vanishes as $`h`$ goes to $`0.`$ Expanding the Gross-Sobolev derivative $`D_2,`$ we get

$$\begin{array}{c}2D_2=\text{E}[f^{(2j+2)}(\frac{Z_t+Z_{t+h}}{2})(Z_{t+h}Z_t)^{2j}\psi \hfill \\ \hfill \times _0^1𝒦_1^{}(p_{t,t+h}u)(s)𝒦_1^{}(p_tu+p_{t+h}u)(s)\text{ d}s]\\ \hfill +\text{E}[f^{(2j+2)}(\frac{Z_t+Z_{t+h}}{2})(Z_{t+h}Z_t)^{2j}\psi \\ \hfill \times _0^1𝒦_1^{}(p_{t,t+h}u)(s)\delta \left(𝒦_1^{}(p_t_su+p_{t+h}_su)\right)\text{ d}s]\\ \hfill +\text{E}[f^{(2j+2)}(\frac{Z_t+Z_{t+h}}{2})(Z_{t+h}Z_t)^{2j}\psi \\ \hfill \times _0^1𝒦_1^{}(p_{t,t+h}u)(s)_s\left(_0^1(p_t+p_{t+h})(𝒦)_ru(r)\text{ d}r\right)\text{ d}s].\end{array}$$

Following the reasoning applied to $`A_2,`$ we see that all the terms in the integrals are converging a.s. (when divided by $`h`$) to a finite limit, since there still is a factor $`(Z_{t+h}Z_t)^{2j},`$ with $`j>0,`$ the product converges to $`0.`$ By dominated convergence, the convergence can be seen to hold in $`L^1(\mathrm{\Omega }),`$ thus $`h^1D_2`$ goes to $`0`$ as $`h`$ goes to $`0.`$ The really difficult term is $`D_1.`$ For the sake of clarity, we only treat the case $`j=1.`$ For $`j=1,`$

$$\begin{array}{c}D_1=\text{E}[(Z_{t+h}Z_t)f^{(3)}(\frac{Z_t+Z_{t+h}}{2})\psi \hfill \\ \hfill \times _0^1𝒦_1^{}(p_{t,t+h}u)(s)_s(Z_{t+h}Z_t)\text{ d}s]\\ \hfill =2\text{E}\left[(Z_{t+h}Z_t)f^{(3)}(\frac{Z_t+Z_{t+h}}{2})\psi _0^1𝒦_1^{}(p_{t,t+h}u)(s)^2\text{ d}s\right]\\ \hfill +2\text{E}[(Z_{t+h}Z_t)f^{(3)}(\frac{Z_t+Z_{t+h}}{2})\psi \\ \hfill \times _0^1𝒦_1^{}(p_{t,t+h}u)(s)\delta (𝒦_1^{}((p_t+p_{t+h})_su))\text{ d}s]\\ \hfill +2\text{E}[(Z_{t+h}Z_t)f^{(3)}(\frac{Z_t+Z_{t+h}}{2})\psi \\ \hfill \times _0^1𝒦_1^{}(p_{t,t+h}u)(s)_0^1𝒦_1^{}(_{r,s}^{(2)}(p_t+p_{t+h})u)(r)\text{ d}r\text{ d}s].\end{array}$$

Dominated convergence implies that the last term, divided by $`h,`$ vanishes as $`h`$ goes to $`0.`$ For the two other summands, the idea is always the same, each time there is a divergence term, we apply integration by parts formula. Then, each new term is treated by the previous methods. For instance, the most difficult term to handle is one of the term which comes from derivative of the divergence in the first summand:

$$\begin{array}{c}\text{E}\left[f^{(3)}(\frac{Z_t+Z_{t+h}}{2})\psi _0^1_r(_0^1𝒦_1^{}(p_{t,t+h}u)(s)^2\text{ d}s)𝒦_1^{}(p_{t,t+h}u)(r)\text{ d}r\right]\hfill \\ \hfill =\text{E}[f^{(3)}(\frac{Z_t+Z_{t+h}}{2})\psi \\ \hfill \times _0^1_0^1𝒦_1^{}(p_{t,t+h}u)(s)𝒦_1^{}(p_{t,t+h}_ru)(s)𝒦_1^{}(p_{t,t+h}u)(r)\text{ d}r\text{ d}s]\\ \hfill =\text{E}[f^{(3)}(\frac{Z_t+Z_{t+h}}{2})\psi \\ \hfill \times _t^{t+h}u(s)𝒦\left(_0^1𝒦_1^{}(p_{t,t+h}_ru)(.)𝒦_1^{}(p_{t,t+h}u)(r)\text{ d}r\right)(s)\text{ d}s].\end{array}$$

Once again, in this form, it is clear that this term, divided by $`h,`$ converges to $`0.`$ All the remaining term are treated likewise and do not contribute. Thus from Eqn. (30) follows from (33), (34), (35), (36) and (37). ∎

Since $`u`$ is cylindric, all the terms of (30) are integrable with respect to $`t,`$ we thus have

###### Corollary 6.1.

Under the assuptions of the previous lemma, we have,

$`\text{E}\left[f(Z_t)\psi \right]`$ $`=\text{E}\left[f(x)\psi \right]+\text{E}\left[{\displaystyle _0^t}f^{}(Z_s)(𝒦)_s(u(s)\psi )\text{ d}s\right]`$
$`+{\displaystyle \frac{1}{2}}\text{E}\left[\psi {\displaystyle _0^t}f^{\prime \prime }(Z_s){\displaystyle \frac{d}{ds}}{\displaystyle _0^1}𝒦_1^{}p_su(r)^2\text{ d}r\text{ d}s\right]`$
$`+\text{E}\left[\psi {\displaystyle _0^t}u(s)f^{\prime \prime }(Z_s)(𝒦)_s\left({\displaystyle _0^s}(𝒦)_ru(r)\text{ d}r\right)\text{ d}s\right]`$
$`+\text{E}\left[\psi {\displaystyle _0^t}u(s)f^{\prime \prime }(Z_s)\delta \left(𝒦_1^{}p_s(𝒦)_su\right)\text{ d}s\right],`$
for any $`\psi `$ such that $`\psi `$ belongs to $`\mathrm{Dom}𝒦.`$

Since $`(𝒦)`$ is a derivation operator, we obtain after a few manipulations: Since $`𝒦`$ is a derivation operator, we have

$`\text{E}\left[f(Z_t)\psi \right]`$ $`=\text{E}\left[f(x)\psi \right]+\text{E}\left[{\displaystyle _0^t}(𝒦)_s(f^{}(Z_s)u(s)\psi )\text{ d}s\right]`$
$`+{\displaystyle \frac{1}{2}}\text{E}\left[\psi {\displaystyle _0^t}f^{\prime \prime }(Z_s){\displaystyle \frac{d}{ds}}{\displaystyle _0^1}𝒦_1^{}p_su(r)^2\text{ d}r\text{ d}s\right]`$
$`\text{E}\left[\psi {\displaystyle _0^t}u(s)f^{\prime \prime }(Z_s)𝒦𝒦_1^{}(p_su)(s)\text{ d}s\right].`$
This means that for any $`t,`$ we have a.e.,

$$\begin{array}{cc}\hfill f(Z_t)& =f(x)+_0^tf^{}(Z_s)u(s)\text{ d}X_s\hfill \\ & +\frac{1}{2}_0^tf^{\prime \prime }(Z_s)\frac{d}{ds}_0^1𝒦_1^{}p_su(r)^2\text{ d}r\text{ d}s\hfill \\ & _0^tu(s)f^{\prime \prime }(Z_s)𝒦𝒦_1^{}(p_su)(s)\text{ d}s.\hfill \end{array}$$
(38)
###### Remark 6.1.

It has to be noted that in \[Dec02b\], we announced an Itô formula for general $`u`$ and any $`\alpha (0,1).`$ This is unfortunately wrong for $`\alpha (0,1/2).`$ Actually, starting from (38), the problem is now to pass to the limit. For the very first term of the righthandside of (38), we need to find a class of processes $`u`$ for which $`fZ.u`$ is Stratonovich integrable. The most restrictive part is to find conditions under which this process has a “trace” in the sense of Theorem 4.1. It is important to note that

$$\begin{array}{c}_rZ_t=𝒦_1^{}p_t(uu(t))(r)+\delta (𝒦_1^{}p_t_r(uu(t)))+_r_0^t(𝒦)_s(uu(t))(s)\text{ d}s\hfill \\ \hfill +X(t)_ru(t)+u(t)K(t,r)\end{array}$$

and thus, we have

$$\begin{array}{c}𝒦(_.Z_t)(r)=𝒦(𝒦_1^{}p_t(uu(t)))(r)+𝒦(\delta (𝒦_1^{}p_t_.(uu(t))))(r)\hfill \\ \hfill +𝒦(_._0^t(𝒦)_s(uu(t))(s)\text{ d}s)(r)+𝒦(X(t)_.u(t))(r)\\ \hfill +𝒦(u(t)K(t,.))(t).\end{array}$$

It is possible to impose hypothesis on $`u`$ such that the first four terms of the previous equations have a signification when $`r=t.`$ Unfortunately, for the very last term, we have

$$𝒦(u(t)K(t,.))(t)=u(t)\frac{}{s}R(t,s)|_{s=t}.$$

In the case of the fBm with stationary increments, this is equal, up to a constant, to $`u(t)(s^{2\alpha 1}(ts)^{2\alpha 1})_{s=t}.`$ Since this quantity is infinite for $`\alpha <1/2,`$ we haven’t been able to go below $`1/2.`$

###### Remark 6.2.

If we don’t have a trace term we can state the following result.

###### Theorem 6.1.

Let $`\alpha (0,1),`$ be given and assume that hypothesis I, II andIII hold. Let $`u`$ be a cylindric process, belonging to $`.`$ Let

$$n_\alpha :=inf\{n:2n\alpha >1\}.$$

Let

$$Z_t=\delta (𝒦_1^{}p_tu).$$

For any $`f𝒞_b^{n_\alpha },`$ i.e., $`n_\alpha `$-times differentiable with bounded derivatives, we have

$`f(Z_t)`$ $`=f(x)+\delta \left(𝒦_t^{}(u.f^{}Z)\right)`$
$`+{\displaystyle \frac{1}{2}}{\displaystyle _0^t}f^{\prime \prime }(Z_s){\displaystyle \frac{d}{ds}}{\displaystyle _0^1}𝒦_1^{}p_su(r)^2\text{ d}r\text{ d}s`$
$`+{\displaystyle _0^t}u(s)f^{\prime \prime }(Z_s)\delta \left(𝒦_1^{}p_s(𝒦)_su\right)\text{ d}s,`$
for any $`t,`$ a.s..

###### Proof.

The proof is exactly the same as the previous one. ∎

If $`u1,`$ we get the same result as in \[AMN01, CCM02, DÜ99, FdlP01\] valid for any $`\alpha (0,1).`$ If $`𝒦=\text{Id},`$ i.e., $`X`$ is an ordinary Brownian motion, and $`u`$ is not necessarily adapted, this formula coincides with that given in \[Ü88\].

## 7 Skorohod integral

Since the term $`_0^T\stackrel{~}{D}_Tu(s)\text{ d}s`$ is a trace-like term, it is reasonable to introduce the following definitions. We now introduce a stochastic integral defined

###### Definition 7.1.

We denote by $`\mathrm{Dom}\delta _𝒦^{},`$ the set of processes $`u`$ belonging a.s. to $`\mathrm{Dom}𝒦^{}`$ and such that $`𝒦^{}u`$ belongs to $`\mathrm{Dom}\delta .`$ We denote by $`\mathrm{Dom}\delta _X,`$ the set of processes $`u`$ in $`\mathrm{Dom}\delta _𝒦^{}`$ such that $`𝒦^{}u`$ is P-a.s. a trace class operator.

###### Definition 7.2.

For $`u\mathrm{Dom}\delta _X,`$ we define the stochastic integral of $`u`$ with respect to $`X`$ by

$`{\displaystyle _0^1}u_s\text{ d}X_s`$ $`\stackrel{def}{=}{\displaystyle _0^1}(𝒦^{}u)(s)\delta B_s+\mathrm{trace}((𝒦^{}u))`$
To define the integral of $`u`$ between time $`0`$ and $`t,`$ we use Lemma 4.1:

###### Definition 7.3.

For $`u\mathrm{Dom}\delta _X,`$ we define the stochastic integral of $`u`$ with respect to $`X`$ between $`0`$ and $`t`$ by

$`{\displaystyle _0^t}u_s\text{ d}X_s`$ $`={\displaystyle _0^1}(p_tu)(s)\text{ d}X_s`$
$`={\displaystyle _0^t}(𝒦_t^{}u)(s)\delta B_s+\mathrm{trace}(p_t(𝒦_t^{}u)),`$
where the second equality follows by (15).

Eqn. (23) has its equivalent in this setting :

###### Lemma 7.1.

Assume that I andII hold. Let $`u\mathrm{Dom}𝒦^{}`$ belong to $`𝔻_{2,1}(^2([0,1]))`$ and be such that $`u`$ belong (a.s.) to $`\mathrm{Dom}𝒦.`$ Then $`\mathrm{trace}((𝒦^{}u))`$ is finite iff $`\mathrm{trace}((𝒦)u)`$ is finite and they are equal.

###### Proof.

Since $`\mathrm{Dom}𝒦^{}\mathrm{Dom}𝒦`$ is a dense subset of $`^2`$, one can find $`\{h_i,i1\}`$ an ONB of $`^2`$ where for any $`i,`$ $`h_i`$ belongs to $`\mathrm{Dom}𝒦^{}\mathrm{Dom}𝒦.`$ Set $`\pi _n`$ the orthogonal projection in $`^2`$ onto the vector space spanned by $`h_1,\mathrm{},h_n.`$ Let $`V_k=\sigma \{\delta h_i,i=1,\mathrm{},k\}`$ and consider $`u_{k,n}=\pi _n\text{E}\left[P_{1/k}u|V_k\right]`$ where $`P_t`$ denote the Ornstein-Uhlenbeck semi-group of the Wiener process $`X.`$ It is known, see \[UZ00, Lemma B.6.1\], that $`u_k`$ can be written as

$$u_{k,n}=\underset{i=1}{\overset{n}{}}f_i^n(\delta h_1,\mathrm{},\delta h_k)h_i\text{ where }f_i𝒞^{\mathrm{}}\text{ for any }i,$$

and that $`u_{k,n}`$ converges to $`u`$ in $`𝔻_{2,1}.`$ Furthermore, it is clear that we have

$`\mathrm{trace}((𝒦)u_{k,n})`$ $`=\mathrm{trace}{\displaystyle \underset{i,j}{}}_jf_i^n(\delta h_1,\mathrm{},\delta h_k)h_i𝒦h_j`$
$`={\displaystyle \underset{i,j}{}}_jf_i^n(\delta h_1,\mathrm{},\delta h_k){\displaystyle _0^1}h_i(s)(𝒦h_j)(s)𝑑s`$
$`={\displaystyle \underset{i,j}{}}_jf_i^n(\delta h_1,\mathrm{},\delta h_k){\displaystyle _0^1}(𝒦^{}h_i)(s)h_j(s)𝑑s`$
$`=\mathrm{trace}((𝒦^{}u_{k,n})).`$ (39)
Moreover, if $`\mathrm{trace}((𝒦)u)`$ exists a.s., then the series

$$\underset{i}{}<(𝒦)u,h_ih_i>_{^2^2}\text{ is convergent.}$$

Thus, by Cauchy-Schwarz inequality,

$$\begin{array}{c}\left|\mathrm{trace}((𝒦)u_{k,n})\mathrm{trace}((𝒦)u)\right|\hfill \\ \hfill \underset{in}{}<(𝒦)u_{k,n}(𝒦)u,h_ih_i>_{^2^2}+\underset{i>n}{}|<(𝒦)u,h_ih_i>_{^2^2}|\\ \hfill n.(𝒦)(uu_{k,n})_{^2^2}+\underset{i>n}{}|<(𝒦)u,h_ih_i>_{^2^2}|.\end{array}$$

As $`n`$ goes to infinity, the rightmost term converges a.s. to $`0,`$ hence for $`ϵ>0,`$ one can find $`n`$ such that

$$\text{P}(\underset{i>n}{}|<(𝒦)u,h_ih_i>_{^2^2}>ϵ/2)ϵ/2.$$

Since $`𝒦`$ is a closed map, for this value of $`n,`$ one can find $`k_n`$ such that

$$\text{P}((𝒦)(uu_{k_n,n})_{^2^2}>ϵ/2n)ϵ/2.$$

For such $`n`$ and $`k_n,`$ we have

$$\text{P}(\left|\mathrm{trace}((𝒦)u_{k_n,n})\mathrm{trace}((𝒦)u)\right|>ϵ)ϵ.$$

Hence there exists a subsequence $`(k_j,n_j)`$ such that $`\mathrm{trace}((𝒦)u_{k_j,n_j})`$ converges P-almost surely, thus that $`\mathrm{trace}((𝒦^{}u))`$ is finite and that the two expressions are equal. $`\mathrm{trace}((𝒦^{}u))=\mathrm{trace}((𝒦)u).`$

The very same reasoning holds true when $`\mathrm{trace}((𝒦^{}u))`$ is finite. ∎

Following \[Nua95\], we know that when $`u`$ belongs to the domain of the two integrals (that of definition 4.1 and that of the last definition), these two integrals coincide.

A nice feature of this version of the stochastic integral is that we can compute its transformation under absolutely continuous change of probability.

###### Theorem 7.1.

Let $`T(\omega )=\omega +Kv(\omega )`$ be such that $`v`$ belongs to $`𝔻_{p,1}(^2)`$ for some $`p>1`$ and $`T^{}PP`$. Let $`u`$ be such that $`u`$ and $`uT`$ belong to $`\mathrm{Dom}\delta _𝒦^{}`$ and $`𝒦^{}u`$ and $`(𝒦^{}uT)`$ are a.s. trace class operators. Then,

$$\left(_0^1u(s)\text{ d}X_s\right)T=_0^1(uT)(s)\text{ d}X_s+_0^1𝒦^{}(uT)(s)v(s)𝑑s.$$

###### Proof.

Theorem B.6.12 of \[UZ00\] stands that

$$\delta (𝒦^{}u)T=\delta (𝒦^{}(uT))+𝒦^{}(uT)(s)v(s)ds+\mathrm{trace}((𝒦^{}u)T.v).$$

Proposition B.6.8 of \[UZ00\] implies that

$$\mathrm{trace}((𝒦^{}u)T.v)=\mathrm{trace}((𝒦^{}uT))\mathrm{trace}(𝒦^{}u)T.$$

The proof is completed by substituting the latter equation into the former. ∎

For $`u`$ deterministic and $`v`$ adapted, this means that the law of the process $`\{_0^tu_s𝑑X_s_0^t𝒦^{}u(s)v(s)𝑑s,t0\},`$ under $`T^{}P,`$ is identical to the $`P`$-law of the process $`\{_0^tu_s𝑑X_s,t0\}.`$


text:
# Radiation-Induced “Zero-Resistance State” and the Photon Assisted Transport

## Abstract

We demonstrate that the radiation induced “zero-resistance state” observed in a two-dimensional electron gas is a result of the non-trivial structure of the density of states of the systems and the photon assisted transport. A toy model of a structureless quantum tunneling junction where the system has oscillatory density of states catches most of the important features of the experiments. We present a generalized Kubo-Greenwood conductivity formula for the photon assisted transport in a general system, and show essentially the same nature of the transport anomaly in a uniform system.

The recent discovery of the “zero-resistance state” in a two-dimensional (2D) electron gas (2DEG) presents a surprise to the physics community Mani2002 ; Zudov2002 ; Zudov2001 ; Durst2003 ; Andreev2003 ; Anderson2003 . In these experiments Mani2002 ; Zudov2002 ; Zudov2001 , the magneto-resistance of a 2DEG under the influence of a microwave radiation exhibits strong oscillations vs. magnetic field. Unlike the well known Shubnikov-de Hass oscillation, the period of such oscillation is determined by the frequency of the microwave radiation, and the resistance shows minima near $`\omega /\omega _c=n+1/4`$, where $`\omega `$ is the frequency of the microwave radiation and $`\omega _c`$ is the cyclotron frequency of electron in the magnetic field. When the microwave radiation is strong enough, the “zero-resistance states” are observed around the resistance minima. Durst et al. proposed a theory Durst2003  which successfully explains the period and the phase of the magneto-resistance oscillation and also yields the negative resistance at the positions where the “zero-resistance state” was observed in the experiments. Andreev et al. Andreev2003  pointed out that such negative resistance state is essential to understanding the “zero-resistance state” , because the negative resistance is unstable in nature and could be interpreted as the “zero-resistance” by the measurement techniques employed in those experiments. A similar conclusion is also reached in Ref. Anderson2003, . In essence, the existence of the negative resistance state is crucial in the current stage of theoretical understanding of the phenomenon.

In this Letter, we show that such negative resistance state is the result of the non-trivial structure of the density of states of the 2DEG system and the photon assisted transport. The similar effect of photon assisted transport could be observed in other systems. A generalized Kubo-Greenwood formula is presented to provide a formal theory for such phenomena.

To demonstrate our point in a clear and simple way, we first consider the transport through a quantum tunneling junction. Such a toy model catches most of the qualitative feature of the 2DEG experiments Zudov2001 ; Mani2002 ; Zudov2002 . At the same time, the simplicity of the model provides us a clear view to the origin of the transport anomaly. Then we will present a generalized Kubo-Greenwood formula to calculate the conductivity of a general system under the influence of radiation, and provide a natural explanation of the success of the simple toy model.

The structure of the toy model is shown in Fig. 1. We define the two systems across the junction as the left and right leads. The AC voltage across the junction, $`V_{\mathrm{ac}}=\mathrm{\Delta }\mathrm{cos}\omega t`$, models the microwave radiation in a realistic experiment. The current through the junction can be written as Tien1963 ,

$`I`$ $`=`$ $`eD{\displaystyle 𝑑ϵ\underset{n}{}J_n^2\left(\frac{\mathrm{\Delta }}{\mathrm{}\omega }\right)\left[f(ϵ)f(ϵ+n\mathrm{}\omega +eV)\right]}`$ (1)
$`\times \rho _L(ϵ)\rho _R(ϵ+n\mathrm{}\omega +eV).`$
where $`\rho _{L(R)}`$ is the density of states of the left (right) lead, $`f(ϵ)`$ is the Fermi distribution function, $`D`$ is the constant in proportion to the transmission coefficient of the junction, and $`J_n(x)`$ is the Bessel function of $`n`$th order. The terms with $`n0`$ result from the photon-assisted tunneling process. It has been assumed in Eq. 1 that the electrons tunneling across the junction are immediately removed from the junction by the electric field in the leads so that there is no significant charge accumulation in the junction area. This usually requires both leads to be good conductors. However, as we will show later, in the abnormal transport regime where the conductance becomes negative, the assumption breaks down.

For simplicity, we consider a symmetric system, $`\rho _L(ϵ)=\rho _R(ϵ)=\rho (ϵ)`$. In this case, the zero-bias conductance $`\sigma =dI/dV|_{V=0}`$ can be written as,

$`\sigma `$ $`=`$ $`e^2D{\displaystyle }dϵ{\displaystyle \underset{n}{}}J_n^2\left({\displaystyle \frac{\mathrm{\Delta }}{\mathrm{}\omega }}\right)\{[f^{}(ϵ)]\rho (ϵ)\rho (ϵ+n\mathrm{}\omega )`$ (2)
$`+[f(ϵ)f(ϵ+n\mathrm{}\omega )]\rho (ϵ)\rho ^{}(ϵ+n\mathrm{}\omega )\}.`$
The first term of the equation is the usual contribution from the photon emission and absorption and is always positive. The second term depends on the derivative of the density of states, and can be either positive or negative. The contribution from the second term is purely due to the photon-assisted tunneling process, and vanishes when there is no AC field.

Based on Eq. 2, it is not difficult to design a system with the necessary form of the density of states to realize a negative conductance. This is especially feasible for artificial quantum systems Keay1995 . However, to make our following discussion more focused, we assume the density of states in the leads is a periodic function of energy near the Fermi surface, and the period in energy is $`\mathrm{}\omega _c`$. By assuming that, we will show that such a simple toy model catches most of the important features of the experiments Zudov2001 ; Mani2002 ; Zudov2002 .

Without invoking a special form for the density of states, we can show that the conductance at the AC frequency $`\omega =n\omega _c`$ is identical to its dark field value, as observed in the experiments Mani2002 ; Zudov2002 ; Zudov2001 . In this case, $`\rho (ϵ+n\mathrm{}\omega )=\rho (ϵ)`$, the second term of Eq. 2 vanishes, leading to

$`\sigma `$ $`=`$ $`e^2D{\displaystyle 𝑑ϵ\underset{n}{}J_n^2\left(\frac{\mathrm{\Delta }}{\mathrm{}\omega }\right)\left[f^{}(ϵ)\right]\rho ^2(ϵ)}`$ (3)
$`=`$ $`e^2D{\displaystyle 𝑑ϵ\left[f^{}(ϵ)\right]\rho ^2(ϵ)}\sigma _{\mathrm{dark}},`$
where we have used the identity $`_nJ_n^2(x)=1`$.

We now assume the density of states has the following form,

$$\rho (ϵ)=\left(1+\lambda \mathrm{cos}\frac{2\pi ϵ}{\mathrm{}\omega _c}\right)\rho _0,$$
(4)
where $`\lambda `$ is a dimensionless constant representing the fluctuation amplitude of the density of states. A straightforward calculation yields the conductance of the system,

$`\sigma (T)/\sigma _0`$ $`=`$ $`{\displaystyle \underset{n=\mathrm{}}{\overset{\mathrm{}}{}}}J_n^2\left({\displaystyle \frac{\mathrm{\Delta }}{\mathrm{}\omega }}\right)[1+{\displaystyle \frac{\lambda ^2}{2}}\mathrm{cos}\left(2\pi n{\displaystyle \frac{\omega }{\omega _c}}\right)`$ (5)
$`n\pi \lambda ^2{\displaystyle \frac{\omega }{\omega _c}}\mathrm{sin}\left(2\pi n{\displaystyle \frac{\omega }{\omega _c}}\right)]+g({\displaystyle \frac{\mu }{\mathrm{}\omega _c}},T),`$
where $`\sigma _0=e^2D\rho _0^2`$, and $`g(\mu /\mathrm{}\omega _c,T)`$ is the contribution from the Shubnikov-de Hass oscillation which diminishes rapidly at finite temperatures. The conductance oscillation minima can be easily determined from Eq. 5: for the $`k`$th harmonics of the oscillation, the positions of the conductance minima are given by the equation $`\mathrm{tan}x=x/2`$, where $`x=2\pi k\omega /\omega _c`$. For $`k=1`$, it yields the conductance minimum positions very close to $`\omega /\omega _c=n+1/4`$, although not exactly. When the higher orders of harmonics become important, we expect that the conductance minima deviate from the $`n+1/4`$ rule. The amplitude of oscillation is independent on the temperature, indicating any temperature dependence observed in the experiments should come from the temperature dependence of the density of states, *i.e.,* $`\lambda `$.

Next we use a more realistic density of states for the leads: when the leads are the 2DEGs under a perpendicular weak magnetic field Ando1982 ; Xie , $`\lambda `$ is a function of $`\omega _c`$ Ando1982 ,

$$\lambda =2\mathrm{exp}\left(\frac{\pi }{\omega _c\tau _f}\right),$$
(6)
where $`\omega _c`$ is the cyclotron frequency of electron and $`\tau _f`$ is the relaxation time of electron which depends on the scattering mechanisms of the system and the temperature. The conductance for such system is shown in Fig. 2. It is evident that our model system, although very different and much simpler, shows striking resemblances to the experimental observations Mani2002 ; Zudov2001 ; Zudov2002  and the more realistic calculation Durst2003 . The conductance minima are found at the positions near $`\omega /\omega _c=n+1/4`$ for the low and intermediate intensities of the AC field. When the intensity becomes even higher, the multi-photon process sets in, presenting the high order harmonic components to the conductance oscillation. As in the experiments Mani2002 ; Zudov2001 ; Zudov2002 , one can see two sets of crossing points at $`\omega /\omega _c=n`$ and $`\omega /\omega _c=n+1/2`$, where the conductances equal their dark field values. As we have shown above, the former is a general property of the periodic density of states, whereas the later will be destroyed by high intensities of radiation, as shown in Fig. 2.

The system becomes unstable when entering into the negative conductance regime. The consequence of such instability can be easily foreseen in our toy model. In the case of constant voltage measurement, a negative conductance means the current across the junction is in the reversed direction to the electric field applied, as shown in Fig. 3(a). As a result, the tunneling electrons can not be removed from the junction by the electric field in the leads. Instead, they accumulate near the junction, and increase the effective voltage difference. The process will continue on until the effective voltage difference between the junction reaches such a point that the current becomes zero, as shown in Fig 3(b). Consequently, the measurement will yield a zero conductance. On the other hand, in a constant current measurement, the system will be in a bistable state with either positive or negative junction voltage, depending on the history of the applied current, as shown in Fig. 3(c). We stress that the analysis is very sensitive to the detailed setup of the system. In the case of this toy model, many parameters such as barrier thickness, lead configurations and dielectric constants may affect the resulting phase. However, the instability itself is totally determined by the radiation power and the density of states.

The photon-assisted transport process, which is responsible for the transport anomaly in the tunneling junction, also exists in a uniform system like the 2DEG. This becomes clear when we look at the Kubo-Greenwood conductivity formula Greenwood1958 , where the total conductivity is a summation over all possible “tunneling” between single electron states. A generalization of the Kubo-Greenwood formula (see Eq. 16) shows the similar contribution of the photon-assisted tunneling. The effective AC voltage $`\mathrm{\Delta }_{\mathrm{eff}}`$ in such “tunneling” is determined by the spatial separation between the involved single electron states, and on average is of the order of $`E_\omega l`$, where $`l`$ is the mean free path of electron, $`E_\omega `$ is the radiation field strength. Based on the parameters given in the experiment Mani2002 , we deduce that $`l10^4\mathrm{m}`$, $`E_\omega 10\mathrm{V}/\mathrm{m}`$, thus $`\mathrm{\Delta }_{\mathrm{eff}}1\mathrm{meV}`$, which is the same order of the radiation frequency $`\mathrm{}\omega 0.4\mathrm{meV}`$. The estimation indicates the photon-assisted process is sufficient to understanding the observed transport anomaly. The special experimental setup, *i.e.*, a 2D Hall system, is not essential, although the observation does require the oscillatory density of states and a high mobility sample to provide a sufficient long electron mean free path.

Now we derive a generalized Kubo-Greenwood formula for the system under the influence of radiation. For a general system considered, the Hamiltonian can be written as,

$$H=H_0+H_{\mathrm{ac}}(\omega )+H_{\mathrm{dc}}.$$
(7)
Here $`H_0`$ is the Hamiltonian of the unperturbed system including the disorder potential. $`H_{\mathrm{ac}}(\omega )`$ is the coupling to the external radiation of frequency $`\omega `$. $`H_{\mathrm{dc}}`$ is the potential induced by a small DC field, and is treated as a small perturbation to the system defined by $`H_1=H_0+H_{\mathrm{ac}}`$. The standard linear response formula yield the current density through the system as Mahan ,

$`𝐉(t)`$ $`=`$ $`\underset{\omega _00}{lim}{\displaystyle \frac{2𝐄_0}{\mathrm{}\omega _0}}{\displaystyle _{\mathrm{}}^t}𝑑t^{}[\widehat{𝐣}(t),\widehat{𝐣}(t^{})]e^{i\omega _0t^{}+\eta t^{}},`$ (8)
where the DC field is simulated by an electric field $`𝐄_0e^{i\omega _0t+\eta t}`$ with the infinitesimal frequency $`\omega _0`$, and $`\widehat{𝐣}=e/2_i[𝐯_i\delta (𝐱𝐱_i)+\delta (𝐱𝐱_i)𝐯_i]`$ is the current operator. We have omitted the gauge term which has no contribution to the DC current. For brevity, we will drop $`lim_{\omega _00}`$ in the following derivations. An extra factor of $`2`$ has been added to address the spin degeneracy.

Unlike the usual DC transport system, the unperturbed system $`H_1`$ is still time dependent. According to the Floquet theorem, the time dependent wave function of such a system can be written as,

$`|\alpha (t)`$ $`=`$ $`e^{i\stackrel{~}{E}_\alpha t/\mathrm{}}{\displaystyle \underset{n=\mathrm{}}{\overset{\mathrm{}}{}}}e^{in\omega t}|\alpha ,n,`$ (9)
where $`\stackrel{~}{E}_\alpha `$ is quasi-energy of the Floquet state. We assume the external radiation is applied onto the system adiabatically, and the system keeps the adiabaticity during the process Hone1997 , so each Floquet state can be uniquely mapped to an eigenstate $`|\alpha `$ for the system without the radiation. In general, $`E_\alpha \stackrel{~}{E}_\alpha `$, where $`E_\alpha `$ is the energy of the state $`|\alpha `$. $`|\alpha ,n`$ is the appropriate wave function determined by the solution of the time-dependent system.

Turning to the Heisenberg representation, and using the eigenstates of $`H_0`$ as the basis, we can expand the current operator as,

$`\widehat{𝐣}(t)`$ $`=`$ $`e^{i\stackrel{~}{H}_0t/\mathrm{}}\left[{\displaystyle \underset{n=\mathrm{}}{\overset{\mathrm{}}{}}}\widehat{𝐣}_ne^{in\omega t}\right]e^{i\stackrel{~}{H}_0t/\mathrm{}}`$
$`\widehat{𝐣}_n`$ $`=`$ $`{\displaystyle \underset{m}{}}|\alpha \alpha ,m\left|\widehat{𝐣}\right|\beta ,m+n\beta |,`$ (10)
where $`\stackrel{~}{H}_0`$ is the quasi-energy operator defined by $`\stackrel{~}{H}_0|\alpha =\stackrel{~}{E}_\alpha |\alpha `$.

Substituting Eq. 10 into Eq. 8, and following the usual process of the derivation of the Kubo formula Mahan , we have,

$`\sigma _{\mathrm{dc}}`$ $`=`$ $`{\displaystyle \frac{2\pi }{V}}{\displaystyle \frac{}{\omega _0}}{\displaystyle \underset{f,i}{}}{\displaystyle \underset{n}{}}\left(P_iP_f\right)\left|f\left|\widehat{𝐣}_n\right|i\right|^2`$ (11)
$`\times \delta \left(\mathrm{}\omega _0+n\mathrm{}\omega \stackrel{~}{E}_f+\stackrel{~}{E}_i\right),`$
where $`P_{i(f)}=e^{\beta E_{i(f)}}/Z`$ is the probability of the system at the state $`|i`$ ($`|f`$). Note the probability is determined by $`E_{i(f)}`$, the state energy of the system without the radiation, instead of the Floquet quasi-energy $`\stackrel{~}{E}_{i(f)}`$. The discrepancy between the Floquet quasi-energy $`\stackrel{~}{E}`$ and the energy $`E`$ of the original system can be ignored as long as the radiation is not extremely strong.

For the non-interacting system, we can simplify Eq. 11 and obtain the generalized Kubo-Greenwood formula,

$`\sigma _{\mathrm{dc}}`$ $`=`$ $`2\pi {\displaystyle \frac{}{\omega _0}}{\displaystyle \underset{n}{}}{\displaystyle 𝑑ϵ_\alpha \left[f(ϵ_\alpha )f(ϵ_\alpha +\mathrm{}\omega _0+n\mathrm{}\omega )\right]}`$ (12)
$`\times \overline{\left|\beta \left|\widehat{𝐣}_n\right|\alpha \right|^2}\rho (ϵ_\alpha )\rho (ϵ_\alpha +\mathrm{}\omega _0+n\mathrm{}\omega ),`$
where $`\overline{\left|\beta \left|\widehat{𝐣}_n\right|\alpha \right|^2}`$ is the average over all possible initial and final states for the transitions $`ϵ_\alpha ϵ_\alpha +n\mathrm{}\omega +\mathrm{}\omega _0`$. We have assumed $`\stackrel{~}{ϵ}_\alpha ϵ_\alpha `$ in the derivation. In this equation, the same contribution of the photon-assisted process is evident by comparing it with Eq. 2.

To gain more insight to Eq. 12, we study a limiting case where the wavelength of the radiation is much longer than the spatial extend of the electron wave function. As the result, the AC electric field felt by the individual electron state can be approximately considered as spatially independent. So for state $`|\alpha `$,

$$H_{\mathrm{ac}}^\alpha \mathrm{\Delta }\mathrm{cos}(\omega t𝐤𝐫_\alpha ),$$
(13)
where $`\mathrm{\Delta }=eE_\omega c/\omega `$, and $`𝐫_\alpha `$ is the average center of the wave function. Now the Floquet state can be obtained analytically,

$`|\alpha (t)`$ $``$ $`e^{iϵ_\alpha t/\mathrm{}}{\displaystyle \underset{n=\mathrm{}}{\overset{\mathrm{}}{}}}J_n\left({\displaystyle \frac{\mathrm{\Delta }}{\mathrm{}\omega }}\right)e^{in(\omega t𝐤𝐫_\alpha )}|\alpha .`$ (14)
Comparing Eq. 14 with Eq. 9, we conclude $`|\alpha ,n=J_n\left(\mathrm{\Delta }/\mathrm{}\omega \right)\mathrm{exp}(in𝐤𝐫_\alpha )|\alpha `$ and $`ϵ_\alpha =\stackrel{~}{ϵ}_\alpha `$. With Eq. 10, it is straightforward to get,

$`\alpha \left|\widehat{𝐣}_n\right|\beta `$ $`=`$ $`e^{in𝐤(𝐫_\alpha +𝐫_\beta )/2}J_n\left({\displaystyle \frac{\mathrm{\Delta }_{\alpha \beta }}{\mathrm{}\omega }}\right)\widehat{𝐣}_{\alpha \beta },`$ (15)
where $`\mathrm{\Delta }_{\alpha \beta }=\mathrm{\Delta }|\mathrm{exp}(i𝐤𝐫_\alpha )\mathrm{exp}(i𝐤𝐫_\beta )|e|(𝐫_\alpha 𝐫_\beta )𝐄_\omega |`$, is the effective AC potential between two states, and $`\widehat{𝐣}_{\alpha \beta }=\alpha \left|\widehat{𝐣}\right|\beta `$.

As a result, the generalized Kubo-Greenwood formula can be written as,

$`\sigma _{\mathrm{dc}}`$ $`=`$ $`{\displaystyle \frac{}{ϵ_0}}{\displaystyle \underset{n}{}}{\displaystyle 𝑑ϵD_n(ϵ,ϵ+n\mathrm{}\omega )}`$ (16)
$`\times `$ $`\left[f(ϵ)f(ϵ+ϵ_0+n\mathrm{}\omega )\right]\rho (ϵ)\rho (ϵ+ϵ_0+n\mathrm{}\omega )`$
where $`D_n(ϵ,ϵ+n\mathrm{}\omega )=2\pi \mathrm{}\overline{J_n^2(\mathrm{\Delta }_{\alpha \beta }/\mathrm{}\omega )\left|\widehat{𝐣}_{\alpha \beta }\right|^2}`$. It is clear that the total conductivity can be considered as the summation of photon assisted “tunneling” conductance between the electron states. This proves our previous qualitative argument.

Finally, we discuss the implication of negative conductance. In general, negative conductance signifies the instability of the driven system by an external microwave radiation. Such instability may drive the system to a far-from-equilibrium regime where nonlinear and self-organizing effects dominate, resulting intriguing and rich phenomena Prigogine1977 . One possible phase of such kind has been proposed to understand the “zero-resistance state” Andreev2003 ; Anderson2003 . On the other hand, we stress that these are two separate issues: (a) origin of the instability; and (b) new phase induced by the instability. While the instability is totally determined by the radiation power and the density of states, the determination of new phase requires more detailed knowledge of the system, as demonstrated in our toy model. Our analysis also suggests the structure of new phase will be very sensitive to specific setup of the system, and deserves more careful studies.

In conclusion, we demonstrate the existence of the negative conductance in a quantum tunneling junction under the influence of a radiation field. We trace the origin of such transport anomaly to the non-trivial structure of the density of states of the system and the photon-assisted transport. A generalized Kubo-Greenwood conductivity formula is presented to show essentially the same nature of the anomalies observed in tunneling junctions and in 2DEG systems. We expect the similar photon assisted transport phenomena could be observed in other systems. We also suggest that the instability signified by the negative conductance could result rich and interesting phenomena.

We thank Fuchun Zhang for bringing the problem to our attention and Biao Wu for a discussion of quantum adiabaticity and critical reading of the manuscript. We also acknowledge fruitful discussions with R.R. Du, R.G. Mani, N. Read and A.F. Volkov. J.S. thanks Dr. Zhenyu Zhang for constant support and mentorship. This work is supported by the LDRD of ORNL, managed by UT-Battelle, LLC for the U.S. DOE (DE-AC05-00OR22725), and by U.S. DOE (DE/FG03-01ER45687).