Bernoulli

  • Bernoulli
  • Volume 21, Number 1 (2015), 437-464.

Integrability and concentration of the truncated variation for the sample paths of fractional Brownian motions, diffusions and Lévy processes

Witold Marek Bednorz and RafaŁ Marcin Ł ochowski

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Abstract

For a real càdlàg function $f$ defined on a compact interval, its truncated variation at the level $c>0$ is the infimum of total variations of functions uniformly approximating $f$ with accuracy $c/2$ and (in opposite to the total variation) is always finite. In this paper, we discuss exponential integrability and concentration properties of the truncated variation of fractional Brownian motions, diffusions and Lévy processes. We develop a special technique based on chaining approach and using it we prove Gaussian concentration of the truncated variation for certain class of diffusions. Further, we give sufficient and necessary condition for the existence of exponential moment of order $\alpha>0$ of truncated variation of Lévy process in terms of its Lévy triplet.

Article information

Source
Bernoulli Volume 21, Number 1 (2015), 437-464.

Dates
First available in Project Euclid: 17 March 2015

Permanent link to this document
https://projecteuclid.org/euclid.bj/1426597077

Digital Object Identifier
doi:10.3150/13-BEJ574

Mathematical Reviews number (MathSciNet)
MR3322326

Zentralblatt MATH identifier
1318.60041

Keywords
diffusions Gaussian processes Lévy processes sample boundedness truncated variation

Citation

Bednorz, Witold Marek; Ł ochowski, RafaŁ Marcin. Integrability and concentration of the truncated variation for the sample paths of fractional Brownian motions, diffusions and Lévy processes. Bernoulli 21 (2015), no. 1, 437--464. doi:10.3150/13-BEJ574. https://projecteuclid.org/euclid.bj/1426597077.


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