A Remark on the 1/H-Variation of the Fractional Brownian Motion
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Publication:3086799
DOI10.1007/978-3-642-15217-7_8zbMATH Open1216.60033OpenAlexW106606825MaRDI QIDQ3086799FDOQ3086799
Publication date: 30 March 2011
Published in: Séminaire de Probabilités XLIII (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-15217-7_8
Cites Work
- The Malliavin Calculus and Related Topics
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- An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion
- Quelques espaces fonctionnels associés à des processus gaussiens
- The 1/\(H\)-variation of the divergence integral with respect to the fractional Brownian motion for \(H>1/2\) and fractional Bessel processes
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- Exact asymptotic estimates of Brownian path variation
Cited In (10)
- Title not available (Why is that?)
- On (signed) Takagi-Landsberg functions: \(p\)th variation, maximum, and modulus of continuity
- Short time kernel asymptotics for Young SDE by means of Watanabe distribution theory
- Theoretical and empirical analysis of trading activity
- Bilinear equations in Hilbert space driven by paths of low regularity
- A remark on non-Markov property of a fractional Brownian motion
- On the lack of semimartingale property
- Title not available (Why is that?)
- Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity
- Derivatives of sup-functionals of fractional Brownian motion evaluated at \(H=\frac{1}{2}\)
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