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Finite Variation of Fractional Lévy Processes

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Abstract

Various characterizations for fractional Lévy processes to be of finite variation are obtained, one of which is in terms of the characteristic triplet of the driving Lévy process, while others are in terms of differentiability properties of the sample paths. A zero-one law and a formula for the expected total variation are also given.

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Authors and Affiliations

  1. Fachrichtung Mathematik, Universität des Saarlandes, P.O. Box 151150, 66041, Saarbrücken, Germany

    Christian Bender

  2. Institut für Mathematische Stochastik, Technische Universität Braunschweig, Pockelsstraße 14, 38106, Braunschweig, Germany

    Alexander Lindner & Markus Schicks

Authors
  1. Christian Bender
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  2. Alexander Lindner
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  3. Markus Schicks
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Correspondence to Alexander Lindner.

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Bender, C., Lindner, A. & Schicks, M. Finite Variation of Fractional Lévy Processes. J Theor Probab 25, 594–612 (2012). https://doi.org/10.1007/s10959-010-0339-y

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  • DOI: https://doi.org/10.1007/s10959-010-0339-y

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