KMS Of Academy of mathematics and systems sciences, CAS
Quasi-sure p-variation of fractional Brownian motion | |
Cao, Guilan; He, Kai![]() | |
2007-03-01 | |
Source Publication | STATISTICS & PROBABILITY LETTERS
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ISSN | 0167-7152 |
Volume | 77Issue:5Pages:543-548 |
Abstract | In this paper, we prove that for the fractional Brownian motion B-t with Hurst parameter H, the quasi-sure limit of the form Sigma(2n-1)(i=0)vertical bar B-ti+1(n) (Lambda t)-B-ti(Lambda t)n vertical bar(p) is zero, where t(i)(n)= i2(-n), p > 1/H. (c) 2006 Elsevier B.V. All rights reserved. |
Keyword | sobolev spiced fractional Brownian motion p-variation quasi-sure convergence (p, alpha)-modificition infinity-modificnion |
DOI | 10.1016/j.spl.2006.09.016 |
Language | 英语 |
WOS Research Area | Mathematics |
WOS Subject | Statistics & Probability |
WOS ID | WOS:000246512200010 |
Publisher | ELSEVIER SCIENCE BV |
Citation statistics | |
Document Type | 期刊论文 |
Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/4208 |
Collection | 应用数学研究所 |
Corresponding Author | He, Kai |
Affiliation | 1.Chinese Acad Sci, Acad Math & Syst Sci, Inst Appl Math, Beijing 100080, Peoples R China 2.Tsing Hua Univ, Dept Math Sci, Beijing 100084, Peoples R China |
Recommended Citation GB/T 7714 | Cao, Guilan,He, Kai. Quasi-sure p-variation of fractional Brownian motion[J]. STATISTICS & PROBABILITY LETTERS,2007,77(5):543-548. |
APA | Cao, Guilan,&He, Kai.(2007).Quasi-sure p-variation of fractional Brownian motion.STATISTICS & PROBABILITY LETTERS,77(5),543-548. |
MLA | Cao, Guilan,et al."Quasi-sure p-variation of fractional Brownian motion".STATISTICS & PROBABILITY LETTERS 77.5(2007):543-548. |
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