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

DOI10.3150/13-BEJ574zbMath1318.60041arXiv1211.3870OpenAlexW3101660902MaRDI QIDQ2345128

Rafał Marcin Łochowski, Witold Bednorz

Publication date: 19 May 2015

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.3870

zbMATH Keywords

sample pathsLévy processesGaussian processesfractional Brownian motionsdiffusionstruncated variation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Diffusion processes (60J60) Sample path properties (60G17)

Cites Work

• Truncated variation, upward truncated variation and downward truncated variation of Brownian motion with drift -- their characteristics and applications
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• A theorem on majorizing measures
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• On a Sobolev type inequality and its applications
• The Generic Chaining
• Pathwise stochastic integration with finite variation processes uniformly approximating c\`{a}dl\`{a}g processes
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