The Csörgő–Révész moduli of non-differentiability of fractional Brownian motion

Wensheng Wang and Yimin Xiao

Statistics & Probability Letters, 2019, vol. 150, issue C, 81-87

Abstract: We establish the exact moduli of non-differentiability of fractional Brownian motion. As an application of the result, we prove that the uniform Hölder condition for the maximum local times of fractional Brownian motion obtained in Xiao (1997) is optimal.

Keywords: Fractional Brownian motion; Moduli of non-differentiability; Small ball probability; Local times (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spl.2019.02.016

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