Weighted power variation of integrals with respect to a Gaussian process
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Abstract: We consider a stochastic process defined by an integral in quadratic mean of a deterministic function with respect to a Gaussian process , which need not have stationary increments. For a class of Gaussian processes , it is proved that sums of properly weighted powers of increments of over a sequence of partitions of a time interval converge almost surely. The conditions of this result are expressed in terms of the -variation of the covariance function of . In particular, the result holds when is a fractional Brownian motion, a subfractional Brownian motion and a bifractional Brownian motion.
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