Quadratic Variations along Irregular Subdivisions for Gaussian Processes
Arnaud Begyn, Laboratoire de statistiques et probabilites, Université Paul Sabatier, Fra
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.
Full text: PDF | PostScript
Copyright for articles published in this journal is retained by the authors, with first publication rights granted to the journal. By virtue of their appearance in this open access journal, articles are free to use, with proper attribution, in educational and other non-commercial settings.
The authors of papers published in EJP/ECP retain the copyright. We ask for the permission to use the material in any form. We also require that the initial publication in EJP or ECP is acknowledged in any future publication of the same article.
Before a paper is published in the Electronic Journal of Probability or Electronic Communications in Probability we must receive a hard-copy of the copyright form. Please mail it to
Philippe Carmona
Laboratoire Jean Leray UMR 6629
Universite de Nantes,
2, Rue de la Houssinière BP 92208
F-44322 Nantes Cédex 03
France
You can also send it by FAX: (33|0) 2 51 12 59 12 to the attention of Philippe Carmona. You can even send a scanned jpeg or pdf of this copyright form to the managing editor ejpecpme@math.univ-nantes.fr. as an attached file.
If a paper has several authors, the corresponding author signs the copyright form on behalf of all the authors.