On p-variation of bifractional Brownian motion

DOI10.1007/S11766-010-2454-7MaRDI QIDQ655757zbMATHOpenAlexFDO

Authors Juan-Miguel Gracia

Publication date 27 January 2012

Published in Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11766-010-2454-7

zbMATH Keywords

bifractional Brownian motionvariationstrongly consistentfractal nature

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15) Brownian motion (60J65) Strong limit theorems (60F15) Sample path properties (60G17)

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Cites work

• scientific article; zbMATH DE number 3911357 (Why is no real title available?)
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• scientific article; zbMATH DE number 741240 (Why is no real title available?)
• scientific article; zbMATH DE number 739280 (Why is no real title available?)
• scientific article; zbMATH DE number 2096694 (Why is no real title available?)
• A decomposition of the bifractional Brownian motion and some applications
• Fernique type inequalities and moduli of continuity for \(l^ 2\)-valued Ornstein- Uhlenbeck processes
• Gaussian measures in \(B_p^1\)
• Hausdorff measure of trajectories of multiparameter fractional Brownian motion
• Local times of multifractional Brownian sheets
• MULTIDIMENSIONAL BIFRACTIONAL BROWNIAN MOTION: ITÔ AND TANAKA FORMULAS
• On bifractional Brownian motion
• On quadratic variation of processes with Gaussian increments
• Oscillation of sample functions in stationary Gaussian processes
• Semi-Stable Stochastic Processes
• Uniform quadratic variation for Gaussian processes
• \(p\)-variation of the local times of symmetric stable processes and of Gaussian processes with stationary increments

Cited in

(7)

• Asymptotic behavior for bi-fractional regression models via Malliavin calculus
• On the cross-variation of a class of stochastic processes
• \(\Phi \)-variation of a bifractional Brownian motion
• Hausdorff-Besicovitch dimension of graphs and \(p\)-variation
• Bifractional Brownian motion: existence and border cases
• Berry-Esseen bounds and almost sure CLT for the quadratic variation of the bifractional Brownian motion
• Power variation of subfractional Brownian motion and application

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