p-variation of an integral functional driven by fractional Brownian motion

Litan Yan, Xiangfeng Yang and Yunsheng Lu

Statistics & Probability Letters, 2008, vol. 78, issue 9, 1148-1157

Abstract: Let be a one-dimensional fractional Brownian motion with Hurst parameter H[set membership, variant](0,1). We study the functionals We show that there exists a constant pH[set membership, variant](1,2) depending only on H such that the p-variation of (j=1,2) is zero if p>pH, where L1,L2 are the local time and weighted local time of BH, respectively. This extends the illustrated result for Brownian motion.

Date: 2008
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