Abstract
We prove the stochastic Fubini theorem for Wiener integrals with respect to fractional Brownian motions. By using this theorem, we establish conditions for the mean-square and pathwise differentiability of fractional integrals whose kernels contain fractional Brownian motions.
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Krvavich, Y.V., Mishura, Y.S. Differentiability of Fractional Integrals Whose Kernels Contain Fractional Brownian Motions. Ukrainian Mathematical Journal 53, 35–47 (2001). https://doi.org/10.1023/A:1010432716012
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DOI: https://doi.org/10.1023/A:1010432716012