Gaussian and non-Gaussian processes of zero power variation

DOI10.1051/PS/2014031MaRDI QIDQ2786487zbMATH OpenOpenAlexFDO

Authors Francesco Russo, Frederi Viens

Publication date 12 February 2016

Published in European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0912.0782

zbMATH Keywords

Gaussian processesgeneralized Stratonovich integralmartingalenon-Gaussian processespower variationstochastic integral

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Gaussian processes (60G15) Martingales with continuous parameter (60G44) Generalizations of martingales (60G48) Stochastic integrals (60H05)

Abstract: This paper considers the class of stochastic processes $X$ which are Volterra convolutions of a martingale $M$. When $M$ is Brownian motion, $X$ is Gaussian, and the class includes fractional Brownian motion and other Gaussian processes with or without homogeneous increments. Let $m$ be an odd integer. Under some technical conditions on the quadratic variation of $M$, it is shown that the $m$-power variation exists and is zero when a quantity $delt{a}^2(r)$ related to the variance of an increment of $M$ over a small interval of length $r$ satisfies $delta(r)=o(r^{1/(2m)})$. In the case of a Gaussian process with homogeneous increments, $delta$ is $X$'s canonical metric and the condition on $delta$ is proved to be necessary, and the zero variation result is extended to non-integer symmetric powers. In the non-homogeneous Gaussian case, when $m=3$, the symmetric (generalized Stratonovich) integral is defined, proved to exist, and its It^o's formula is proved to hold for all functions of class $C^6$.

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Cited in

(4)

• Gaussian Volterra processes with power-type kernels. I
• Weighted power variation of integrals with respect to a Gaussian process
• On the cross-variation of a class of stochastic processes
• Rough paths and regularization

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