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Quasi-sure p-variation of fractional Brownian motion
Cao, Guilan; He, Kai
2007-03-01
Source PublicationSTATISTICS & PROBABILITY LETTERS
ISSN0167-7152
Volume77Issue:5Pages:543-548
AbstractIn 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.
Keywordsobolev spiced fractional Brownian motion p-variation quasi-sure convergence (p, alpha)-modificition infinity-modificnion
DOI10.1016/j.spl.2006.09.016
Language英语
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000246512200010
PublisherELSEVIER SCIENCE BV
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Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/4208
Collection应用数学研究所
Corresponding AuthorHe, Kai
Affiliation1.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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