שלחו לחבר

On the Beta-Variation of the Set-Indexed Fractional Brownian Motion

Seminar
Speaker
Lior Dekel
Date
26/11/2013 - 14:00
Abstract

We present two somewhat related results regarding the properties of the Set-indexed H-fractional Brownian motion (sifBm). (1). A proof that almost surely, the sample paths of sifBm have infinite beta=1/H variation on every set. (2). A proof about the convergence of the beta-variation of a sifBm.

 

תאריך עדכון אחרון : 21/11/2013