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Quasi-sure p-variation of fractional Brownian motion

Author

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  • Cao, Guilan
  • He, Kai

Abstract

In this paper, we prove that for the fractional Brownian motion Bt with Hurst parameter H, the quasi-sure limit of the form is zero, where , p>1/H.

Suggested Citation

  • Cao, Guilan & He, Kai, 2007. "Quasi-sure p-variation of fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 77(5), pages 543-548, March.
    • Handle: RePEc:eee:stapro:v:77:y:2007:i:5:p:543-548
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    References listed on IDEAS

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    1. L. C. G. Rogers, 1997. "Arbitrage with Fractional Brownian Motion," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 95-105, January.
    2. Alòs, Elisa & Mazet, Olivier & Nualart, David, 2000. "Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than," Stochastic Processes and their Applications, Elsevier, vol. 86(1), pages 121-139, March.
    3. Coutin, Laure & Nualart, David & Tudor, Ciprian A., 2001. "Tanaka formula for the fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 94(2), pages 301-315, August.
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