Gaussian and non-Gaussian processes of zero power variation
ESAIM: Probability and Statistics, Tome 19 (2015), pp. 414-439.

We consider a class of stochastic processes X defined by X(t)= 0 T G(t,s)dM(s) for t[0,T], where M is a square-integrable continuous martingale and G is a deterministic kernel. Let m be an odd integer. Under the assumption that the quadratic variation [M] of M is differentiable with 𝐄[|d[M](t)/dt| m ] finite, it is shown that the mth power variation

lim ε0 ε -1 0 T dsXs+ε-Xs m
exists and is zero when a quantity δ 2 (r) related to the variance of an increment of M over a small interval of length r satisfies δ(r)=o(r 1/(2m) ). When M is the Wiener process, X is Gaussian; the class then includes fractional Brownian motion and other Gaussian processes with or without stationary increments. When X is Gaussian and has stationary increments, δ is X’s univariate canonical metric, and the condition on δ is proved to be necessary. In the non-stationary Gaussian case, when m=3, the symmetric (generalized Stratonovich) integral is defined, proved to exist, and its Itô’s formula is established for all functions of class C 6 .

Reçu le :
DOI : 10.1051/ps/2014031
Classification : 60G07, 60G15, 60G48, 60H05
Mots clés : Power variation, martingale, calculusvia regularization, Gaussian processes, generalized Stratonovich integral, non-Gaussian processes
Russo, Francesco 1, 2 ; Viens, Frederi 3

1 ENSTA-ParisTech. Unité de Mathématiques appliquées, 828, bd des Maréchaux, 91120 Palaiseau, France
2 INRIA Rocquencourt, Projet MathFi and Cermics, École des Ponts, Rocquencourt, France
3 Department of Statistics, Purdue University, 150 N. University St., West Lafayette, IN 47907-2067, USA
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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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