Quasi-sure p-variation of fractional Brownian motion

DOI10.1016/J.SPL.2006.09.016MaRDI QIDQ886328zbMATH OpenOpenAlexFDO

Authors Guilan Cao, Kai He

Publication date 26 June 2007

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

Full work available at URL https://doi.org/10.1016/j.spl.2006.09.016

zbMATH Keywords

fractional Brownian motionSobolev space\(p\)-variationquasi-sure convergence\((p\(\infty\)-modification\alpha )\)-modification

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65)

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Cites work

• scientific article; zbMATH DE number 4161806 (Why is no real title available?)
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• Itô's formula with respect to fractional Brownian motion and its application
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• Quasi sure quadratic variation of smooth martingales
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Stochastic analysis of fractional brownian motions
• Stochastic analysis of the fractional Brownian motion
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Cited in

(12)

• Berry-Esseen bounds and almost sure CLT for the quadratic variation of the bifractional Brownian motion
• The quadratic variation for mixed-fractional Brownian motion
• Small deviations of weighted fractional processes and average non–linear approximation
• \(p\)-variation of an integral functional driven by fractional Brownian motion
• A central limit theorem for the generalized quadratic variation of the step fractional Brownian motion
• -variation of a bifractional Brownian motion
• Example of a Dirichlet process whose zero energy part has finite \(p\)-th variation
• Q-Fractional Brownian Motion in Infinite Dimensions with Application to Fractional Black–Scholes Market
• Quasi-sure functional limit theorem for increments of a fractional Brownian sheet in Hölder norm
• Quasi Surep-Variation of Fractional Brownian Sheet
• Fluctuations of the empirical quantiles of independent Brownian motions
• Quasi sure \(q\)-variation of a type of continuous Gaussian processes

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