Quasi-sure p-variation of fractional Brownian motion

被引：0

作者：

Cao, Guilan

He, Kai ^{[1
]}

机构：

[1] Chinese Acad Sci, Acad Math & Syst Sci, Inst Appl Math, Beijing 100080, Peoples R China

[2] Tsing Hua Univ, Dept Math Sci, Beijing 100084, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2007年 / 77卷 / 05期

关键词：

sobolev spiced; fractional Brownian motion; p-variation; quasi-sure convergence; (p; alpha)-modificition; infinity-modificnion;

D O I：

10.1016/j.spl.2006.09.016

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：

In this paper, we prove that for the fractional Brownian motion B-t with Hurst parameter H, the quasi-sure limit of the form Sigma(2n-1)(i=0)vertical bar B-ti+1(n) (Lambda t)-B-ti(Lambda t)n vertical bar(p) is zero, where t(i)(n)= i2(-n), p > 1/H. (c) 2006 Elsevier B.V. All rights reserved.

引用

页码：543 / 548

页数：6

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