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Quadratic Variations along Irregular Subdivisions for Gaussian Processes
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Arnaud Begyn, Laboratoire de statistiques et probabilites, Université Paul Sabatier, Fra
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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.
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Full text: PDF
Pages: 691-717
Published on: July 13, 2005
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