A limit theorem for Bernoulli convolutions and the -variation of functions in the Takagi class

DOI10.1007/S10959-022-01157-1zbMATH Open1502.60036arXiv2102.02745OpenAlexW4220822614WikidataQ113901057 ScholiaQ113901057MaRDI QIDQ2100020FDOQ2100020

Alexander Schied, Zhenyuan Zhang, Xiyue Han

Publication date: 21 November 2022

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: We consider a probabilistic approach to compute the Wiener--Young $Phi$-variation of fractal functions in the Takagi class. Here, the $Phi$-variation is understood as a generalization of the quadratic variation or, more generally, the $p^{extth}$ variation of a trajectory computed along the sequence of dyadic partitions of the unit interval. The functions $Phi$ we consider form a very wide class of functions that are regularly varying at zero. Moreover, for each such function $Phi$, our results provide in a straightforward manner a large and tractable class of functions that have nontrivial and linear $Phi$-variation. As a corollary, we also construct stochastic processes whose sample paths have nontrivial, deterministic, and linear $Phi$-variation for each function $Phi$ from our class. The proof of our main result relies on a limit theorem for certain sums of Bernoulli random variables that converge to an infinite Bernoulli convolution.

Full work available at URL: https://arxiv.org/abs/2102.02745

zbMATH Keywords

central limit theorem[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=pathwise+It%EF%BF%BD%EF%BF%BD+calculus&go=Go pathwise It�� calculus]infinite Bernoulli convolutionTakagi classstochastic process with prescribed \(\Phi \)-variationWiener-Young \(\Phi \)-variation

Mathematics Subject Classification ID

Fractals (28A80) Stochastic integrals (60H05) Rate of growth of functions, orders of infinity, slowly varying functions (26A12) (L^p)-limit theorems (60F25)

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Cited In (1)

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