Power variation of multiple fractional integrals

DOI10.2478/s11533-007-0001-9zbMath1124.60047OpenAlexW1967058374MaRDI QIDQ2454693

Constantin Tudor, Maria Tudor

Publication date: 16 October 2007

Published in: Central European Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2478/s11533-007-0001-9

zbMATH Keywords

fractional Brownian motionsub-fractional Brownian motionmultiple fractional Stratonovich integralmultiple fractional Wiener-Itô integralq-variation

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05)

Related Items

On the convergence to the multiple subfractional Wiener-Itō integral

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Power variation of some integral fractional processes
• The law of the iterated logarithm for self-similar processes represented by multiple Wiener integrals
• Multiple stochastic fractional integrals: A transfer principle for multiple stochastic fractional integrals
• Realized power variation and stochastic volatility models
• Evolution equations driven by a fractional Brownian motion
• Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
• Sub-fractional Brownian motion and its relation to occupation times
• Multiple fractional integrals
• Chaos decomposition of multiple fractional integrals and applications
• The 1/\(H\)-variation of the divergence integral with respect to the fractional Brownian motion for \(H>1/2\) and fractional Bessel processes
• Convergence in law to the multiple fractional integral.
• Multiple Wiener integral
• Stochastic integration, trace and the skeleton of wiener functionals
• Stratonovich integral and trace
• Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Some properties of the sub-fractional Brownian motion
• Estimation of integrated volatility in stochastic volatility models
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Decoupled double stochastic fractional integrals