When does fractional Brownian motion not behave as a continuous function with bounded variation?

DOI10.1016/j.spl.2010.06.008zbMath1196.60065arXiv1004.1071OpenAlexW2083654567MaRDI QIDQ990924

Ehsan Azmoodeh, Heikki Tikanmäki, Esko Valkeila

Publication date: 1 September 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1004.1071

zbMATH Keywords

fractional Brownian motionfunction of bounded variationpathwise stochastic integralrunning maximum process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Functions of bounded variation, generalizations (26A45)

Cites Work

• Integration with respect to fractal functions and stochastic calculus. I
• Differential equations driven by fractional Brownian motion
• On the law of the iterated logarithm for Gaussian processes
• Stochastic calculus for fractional Brownian motion and related processes.
• On hedging European options in geometric fractional Brownian motion market model
• On the Problem of Stochastic Integral Representations of Functionals of the Brownian Motion. I
• Real Analysis
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