Weighted power variation of integrals with respect to a Gaussian process

DOI10.3150/14-BEJ606zbMATH Open1326.60081arXiv1105.1503MaRDI QIDQ2348745FDOQ2348745

Authors: Rimas Norvaiša 

Publication date: 15 June 2015

Published in: Bernoulli (Search for Journal in Brave)

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

Full work available at URL: https://arxiv.org/abs/1105.1503

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zbMATH Keywords

Gaussian processesfractional Brownian motionalmost sure convergencequadratic mean integrals

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Strong limit theorems (60F15) Stochastic integrals (60H05)

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Cited In (15)

• Non-central limit theorem of the weighted power variations of Gaussian processes
• Gaussian Volterra processes with power-type kernels. I
• A complement to Gladyshev's theorem
• A central limit theorem for a weighted power variation of a Gaussian process
• Lévy area analysis and parameter estimation for fOU processes via non-geometric rough path theory
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• Power variations and limit theorems for stochastic processes controlled by fractional Brownian motions
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