First order \(p\)-variations and Besov spaces

DOI10.1016/j.spl.2008.07.019zbMath1172.60008OpenAlexW2050779967MaRDI QIDQ2518953

Mathieu Rosenbaum

Publication date: 21 January 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.07.019

zbMATH Keywords

Besov spacesContinuous time stochastic processesFirst order dyadic \(p\)-variation

Mathematics Subject Classification ID

Gaussian processes (60G15) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Continuity and related questions (modulus of continuity, semicontinuity, discontinuities, etc.) for real functions in one variable (26A15) Sample path properties (60G17) Distributions, generalized functions, distribution spaces (46F99)

Related Items (12)

Volatility is rough ⋮ A Fourier analysis based new look at integration ⋮ Optimal extension to Sobolev rough paths ⋮ Rough differential equations driven by signals in Besov spaces ⋮ Lifting the Heston model ⋮ Paracontrolled distribution approach to stochastic Volterra equations ⋮ Weak invariance principle in some Besov spaces for stationary martingale differences ⋮ A new microstructure noise index ⋮ Multidimensional Lévy white noise in weighted Besov spaces ⋮ Rough path metrics on a Besov–Nikolskii-type scale ⋮ Characterization of nonlinear Besov spaces ⋮ Wavelet analysis of the Besov regularity of Lévy white noise

Cites Work

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