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2023 Example of a Dirichlet process whose zero energy part has finite p-th variation
László Bondici, Vilmos Prokaj
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Electron. Commun. Probab. 28: 1-13 (2023). DOI: 10.1214/23-ECP558

Abstract

Let BH be a fractional Brownian motion on R with Hurst parameter H(0,1) and let F be its pathwise antiderivative (so F is a differentiable random function such that F(x)=BxH) with F(0)=0. Let B be a standard Brownian motion, independent of BH. We show that the zero energy part At=F(Bt)0tF(Bs)dBs of F(B) has positive and finite p-th variation in a special sense for p0=21+H. We also present some simulation results about the zero energy part of a certain median process which suggest that its 43-th variation is positive and finite.

Citation

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László Bondici. Vilmos Prokaj. "Example of a Dirichlet process whose zero energy part has finite p-th variation." Electron. Commun. Probab. 28 1 - 13, 2023. https://doi.org/10.1214/23-ECP558

Information

Received: 29 May 2023; Accepted: 1 October 2023; Published: 2023
First available in Project Euclid: 14 November 2023

arXiv: 2206.11980
Digital Object Identifier: 10.1214/23-ECP558

Subjects:
Primary: 60H05 , 60J55 , 60J65

Keywords: Dirichlet process , p-th variation , semimartingale function , semimartingale property

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