A Remark on the 1/H-Variation of the Fractional Brownian Motion

DOI10.1007/978-3-642-15217-7_8zbMath1216.60033OpenAlexW106606825MaRDI QIDQ3086799

Maurizio Pratelli

Publication date: 30 March 2011

Published in: Séminaire de Probabilités XLIII (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-15217-7_8

zbMATH Keywords

fractional Brownian motionergodic theorem\(p\)-variation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22)

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Cites Work

• The 1/\(H\)-variation of the divergence integral with respect to the fractional Brownian motion for \(H>1/2\) and fractional Bessel processes
• Exact asymptotic estimates of Brownian path variation
• The Malliavin Calculus and Related Topics
• Quelques espaces fonctionnels associés à des processus gaussiens
• Arbitrage with Fractional Brownian Motion
• An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion
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