Finite Variation of Fractional Lévy Processes

Christian Bender (), Alexander Lindner () and Markus Schicks ()
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Christian Bender: Universität des Saarlandes
Alexander Lindner: Technische Universität Braunschweig
Markus Schicks: Technische Universität Braunschweig

Journal of Theoretical Probability, 2012, vol. 25, issue 2, 594-612

Abstract: Abstract Various characterizations for fractional Lévy processes to be of finite variation are obtained, one of which is in terms of the characteristic triplet of the driving Lévy process, while others are in terms of differentiability properties of the sample paths. A zero-one law and a formula for the expected total variation are also given.

Keywords: Finite variation; Fractional integration; Fractional Lévy process; Lévy process; Semimartingale property; 60G17; 60G22 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s10959-010-0339-y

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