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First order p-variations and Besov spaces

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  • Rosenbaum, Mathieu

Abstract

Based on the notion of first order dyadic p-variation, we give a new characterization of Besov spaces for 0 1/p. We also give results in the case where p

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  • Rosenbaum, Mathieu, 2009. "First order p-variations and Besov spaces," Statistics & Probability Letters, Elsevier, vol. 79(1), pages 55-62, January.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:1:p:55-62
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    Cited by:

    1. Fageot, Julien & Fallah, Alireza & Unser, Michael, 2017. "Multidimensional Lévy white noise in weighted Besov spaces," Stochastic Processes and their Applications, Elsevier, vol. 127(5), pages 1599-1621.
    2. Jim Gatheral & Thibault Jaisson & Mathieu Rosenbaum, 2014. "Volatility is rough," Papers 1410.3394, arXiv.org.
    3. Carsten Chong & Marc Hoffmann & Yanghui Liu & Mathieu Rosenbaum & Gr'egoire Szymanski, 2022. "Statistical inference for rough volatility: Minimax Theory," Papers 2210.01214, arXiv.org, revised Feb 2024.
    4. Xiyue Han & Alexander Schied, 2021. "The roughness exponent and its model-free estimation," Papers 2111.10301, arXiv.org, revised Aug 2023.

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