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2005 A Non-Markovian Process with Unbounded $p$-Variation
Martynas Manstavicius
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Electron. Commun. Probab. 10: 17-28 (2005). DOI: 10.1214/ECP.v10-1128

Abstract

A recent theorem by M. Manstavicius (2004) provided a link between a certain function of transition probabilities of a strong Markov process and the boundedness of the $p$-variation of its trajectories. Here one assumption of that theorem is relaxed and an example is constructed to show that the Markov property cannot be easily dispensed with.

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Martynas Manstavicius. "A Non-Markovian Process with Unbounded $p$-Variation." Electron. Commun. Probab. 10 17 - 28, 2005. https://doi.org/10.1214/ECP.v10-1128

Information

Accepted: 25 February 2005; Published: 2005
First available in Project Euclid: 4 June 2016

zbMATH: 1060.60074
MathSciNet: MR2119150
Digital Object Identifier: 10.1214/ECP.v10-1128

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