Quasi-sure p-variation of fractional Brownian motion
In this paper, we prove that for the fractional Brownian motion Bt with Hurst parameter H, the quasi-sure limit of the form is zero, where , p>1/H.
Year of publication: |
2007
|
---|---|
Authors: | Cao, Guilan ; He, Kai |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 77.2007, 5, p. 543-548
|
Publisher: |
Elsevier |
Subject: | Sobolev space Fractional Brownian motion p-Variation Quasi-sure convergence (p | [alpha])-Modification [infinity]-Modification |
Saved in:
Online Resource
Saved in favorites
Similar items by person