On the $\gamma$-Variation of Processes with Stationary Independent Increments
Monroe, Itrel
Ann. Math. Statist., Tome 43 (1972) no. 6, p. 1213-1220 / Harvested from Project Euclid
Let $\{X_t; t \geqq 0\}$ be a stochastic process in $R^N$ defined on the probability space $(\Omega, \mathscr{F}, \mathbf{P})$ which has stationary independent increments. Let $\nu$ be the Levy measure for $X_t$ and let $\beta = \inf\{\alpha > 0: \int_{|x| < 1}|x|^\alpha\nu(dx) < \infty\}$. For each $\omega \in \Omega$, let $V_\gamma(\mathbf{X}(\bullet, \omega); a, b) = \sup \sum^m_{j=1} |X(t_j, \omega) - X(_{t-1}, \omega)|^\gamma$ where the supremum is over all finite subdivisions $a = t_0 < t_1 < \cdots < t_m = b$. Then if $\gamma > \beta, \mathbf{P}\{\mathbf{V}_\gamma(\mathbf{X}(\bullet, \omega); a, b) < \infty\} = 1$.
Publié le : 1972-08-14
Classification: 
@article{1177692473,
     author = {Monroe, Itrel},
     title = {On the $\gamma$-Variation of Processes with Stationary Independent Increments},
     journal = {Ann. Math. Statist.},
     volume = {43},
     number = {6},
     year = {1972},
     pages = { 1213-1220},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177692473}
}
Monroe, Itrel. On the $\gamma$-Variation of Processes with Stationary Independent Increments. Ann. Math. Statist., Tome 43 (1972) no. 6, pp.  1213-1220. http://gdmltest.u-ga.fr/item/1177692473/