Hausdorff–Besicovitch dimension of graphs and p-variation of some Lévy processes
Manstavičius, Martynas
Bernoulli, Tome 13 (2007) no. 1, p. 40-53 / Harvested from Project Euclid
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The connection between Hausdorff–Besicovitch dimension of graphs of trajectories and various Blumenthal–Getoor indices is well known for α-stable Lévy processes as well as for some stationary Gaussian processes possessing Orey index. We show that the same relationship holds for several classes of Lévy processes that are popular in financial mathematics models – in particular, the Carr–Geman–Madan–Yor, normal inverse Gaussian, generalized hyperbolic, generalized z and Meixner processes.
Publié le : 2007-02-14
Classification:  Blumenthal–Getoor indices,  Carr–Geman–Madan–Yor process,  generalized hyperbolic process,  generalized z-process,  graph,  Hausdorff–Besicovitch dimension,  Lévy process,  Meixner process,  normal inverse Gaussian process,  p-variation 
@article{1175287719,
     author = {Manstavi\v cius, Martynas},
     title = {Hausdorff--Besicovitch dimension of graphs and p-variation of some L\'evy processes},
     journal = {Bernoulli},
     volume = {13},
     number = {1},
     year = {2007},
     pages = { 40-53},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1175287719}
}

Manstavičius, Martynas. Hausdorff–Besicovitch dimension of graphs and p-variation of some Lévy processes. Bernoulli, Tome 13 (2007) no. 1, pp.  40-53. http://gdmltest.u-ga.fr/item/1175287719/