A tree approach to p-variation and to integration
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Abstract: We consider a real-valued path; it is possible to associate a tree to this path, and we explore the relations between the tree, the properties of -variation of the path, and integration with respect to the path. In particular, the fractal dimension of the tree is estimated from the variations of the path, and Young integrals with respect to the path, as well as integrals from the rough paths theory, are written as integrals on the tree. Examples include some stochastic paths such as martingales, L'evy processes and fractional Brownian motions (for which an estimator of the Hurst parameter is given).
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Cited in
(8)- Densities for rough differential equations under Hörmander's condition
- On the persistent homology of almost surely \(C^0\) stochastic processes
- Representation formulae for the fractional Brownian motion
- Self-similar real trees defined as fixed points and their geometric properties
- Integrability and concentration of the truncated variation for the sample paths of fractional Brownian motions, diffusions and Lévy processes
- Malliavin calculus and rough paths
- A Bailey tree for integrals
- The play operator, the truncated variation and the generalisation of the Jordan decomposition
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