Abstract
We give an elementary proof of the following property of H-fractional Brownian motion: almost all sample paths have infinite 1/H-variation on every interval.
- Fractional Brownian motion
- p-Variation
- Ergodic theorem
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© 2011 Springer-Verlag Berlin Heidelberg
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Pratelli, M. (2011). A Remark on the 1/H-Variation of the Fractional Brownian Motion. In: Donati-Martin, C., Lejay, A., Rouault, A. (eds) Séminaire de Probabilités XLIII. Lecture Notes in Mathematics(), vol 2006. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-15217-7_8
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DOI: https://doi.org/10.1007/978-3-642-15217-7_8
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