In this paper we introduce the notion of fractional martingale as the fractional derivative of order $\alpha$ of a continuous local martingale, where $\alpha\in(-{ 1/2},{ 1/2})$, and we show that it has a nonzero finite variation of order $\frac{ 2}{ 1+2\alpha}$, under some integrability assumptions on the quadratic variation of the local martingale. As an application we establish an extension of L\'evy's characterization theorem for the fractional Brownian motion.
Categories: math.PR