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2005 Quadratic Variations along Irregular Subdivisions for Gaussian Processes
Arnaud Begyn
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Electron. J. Probab. 10: 691-717 (2005). DOI: 10.1214/EJP.v10-245

Abstract

In this paper we deal with second order quadratic variations along general subdivisions for processes with Gaussian increments. These have almost surely a deterministic limit under conditions on the mesh of the subdivisions. This limit depends on the singularity function of the process and on the structure of the subdivisions too. Then we illustrate the results with the example of the time-space deformed fractional Brownian motion and we present some simulations.

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Arnaud Begyn. "Quadratic Variations along Irregular Subdivisions for Gaussian Processes." Electron. J. Probab. 10 691 - 717, 2005. https://doi.org/10.1214/EJP.v10-245

Information

Accepted: 13 July 2005; Published: 2005
First available in Project Euclid: 1 June 2016

zbMATH: 1109.60024
MathSciNet: MR2164027
Digital Object Identifier: 10.1214/EJP.v10-245

Subjects:
Primary: 60F15, 60G15
Secondary: 60G17, 60G18

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