Quasi-sure p-variation of fractional Brownian motion

Guilan Cao and Kai He

Statistics & Probability Letters, 2007, vol. 77, issue 5, 543-548

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.

Keywords: Sobolev space Fractional Brownian motion p-Variation Quasi-sure convergence (p; [alpha])-Modification [infinity]-Modification (search for similar items in EconPapers)
Date: 2007
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