A tree approach to p-variation and to integration

DOI10.1214/07-AOP388zbMATH Open1157.60055arXiv0705.2128OpenAlexW2060479255MaRDI QIDQ2519682FDOQ2519682

Jean Picard

Publication date: 27 January 2009

Published in: The Annals of Probability (Search for Journal in Brave)

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 $p$-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).

Full work available at URL: https://arxiv.org/abs/0705.2128

Recommendations

• Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity
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zbMATH Keywords

fractional Brownian motion[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+processes&go=Go L��vy processes]Lebesgue-Stieltjes integralrough path

Mathematics Subject Classification ID

Sample path properties (60G17) Stochastic integrals (60H05) Integrals of Riemann, Stieltjes and Lebesgue type (26A42)

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Cited In (8)

• On the persistent homology of almost surely \(C^0\) stochastic processes
• Densities for rough differential equations under Hörmander's condition
• 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
• Representation Formulae for the Fractional Brownian Motion
• The play operator, the truncated variation and the generalisation of the Jordan decomposition

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