We consider a class of stochastic processes defined by for , where is a square-integrable continuous martingale and is a deterministic kernel. Let be an odd integer. Under the assumption that the quadratic variation of is differentiable with finite, it is shown that the th power variation
DOI : 10.1051/ps/2014031
Mots clés : Power variation, martingale, calculusvia regularization, Gaussian processes, generalized Stratonovich integral, non-Gaussian processes
@article{PS_2015__19__414_0, author = {Russo, Francesco and Viens, Frederi}, title = {Gaussian and {non-Gaussian} processes of zero power variation}, journal = {ESAIM: Probability and Statistics}, pages = {414--439}, publisher = {EDP-Sciences}, volume = {19}, year = {2015}, doi = {10.1051/ps/2014031}, zbl = {1333.60114}, language = {en}, url = {http://www.numdam.org/articles/10.1051/ps/2014031/} }
TY - JOUR AU - Russo, Francesco AU - Viens, Frederi TI - Gaussian and non-Gaussian processes of zero power variation JO - ESAIM: Probability and Statistics PY - 2015 SP - 414 EP - 439 VL - 19 PB - EDP-Sciences UR - http://www.numdam.org/articles/10.1051/ps/2014031/ DO - 10.1051/ps/2014031 LA - en ID - PS_2015__19__414_0 ER -
%0 Journal Article %A Russo, Francesco %A Viens, Frederi %T Gaussian and non-Gaussian processes of zero power variation %J ESAIM: Probability and Statistics %D 2015 %P 414-439 %V 19 %I EDP-Sciences %U http://www.numdam.org/articles/10.1051/ps/2014031/ %R 10.1051/ps/2014031 %G en %F PS_2015__19__414_0
Russo, Francesco; Viens, Frederi. Gaussian and non-Gaussian processes of zero power variation. ESAIM: Probability and Statistics, Tome 19 (2015), pp. 414-439. doi : 10.1051/ps/2014031. http://www.numdam.org/articles/10.1051/ps/2014031/
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