Finite Variation of Fractional L,vy Processes

被引：24

作者：

Bender, Christian ^{[2
]}

Lindner, Alexander ^{[1
]}

Schicks, Markus ^{[1
]}

机构：

[1] Tech Univ Carolo Wilhelmina Braunschweig, Inst Math Stochast, D-38106 Braunschweig, Germany

[2] Univ Saarland, Fachrichtung Math, D-66041 Saarbrucken, Germany

来源：

JOURNAL OF THEORETICAL PROBABILITY | 2012年 / 25卷 / 02期

关键词：

Finite variation; Fractional integration; Fractional Levy process; Levy process; Semimartingale property; LEVY PROCESSES;

D O I：

10.1007/s10959-010-0339-y

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Various characterizations for fractional L,vy processes to be of finite variation are obtained, one of which is in terms of the characteristic triplet of the driving L,vy process, while others are in terms of differentiability properties of the sample paths. A zero-one law and a formula for the expected total variation are also given.

引用

页码：594 / 612

页数：19

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