Weak Variation of Gaussian Processes

Yimin Xiao ()

Journal of Theoretical Probability, 1997, vol. 10, issue 4, 849-866

Abstract: Abstract Let X(t) (t∈R) be a real-valued centered Gaussian process with stationary increments. We assume that there exist positive constants δ 0, C 1, and c 2 such that for any t∈R and h∈R with |h|≤δ0 $$E[(X(t + h) - X(t))^2 ] \leqslant c_1 \sigma ^2 (|h|)$$ and for any 0≤r

Keywords: Weak variation; Gaussian processes; local times; symmetric Lévy processes (search for similar items in EconPapers)
Date: 1997
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DOI: 10.1023/A:1022606431629

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