Finite Variation of Fractional Levy Processes
Probability
2021-05-31 v1
Abstract
Various characterizations for fractional Levy process to be of finite variation are obtained, one of which is in terms of the characteristic triplet of the driving Levy 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 is also given.
Cite
@article{arxiv.1012.5942,
title = {Finite Variation of Fractional Levy Processes},
author = {Christian Bender and Alexander Lindner and Markus Schicks},
journal= {arXiv preprint arXiv:1012.5942},
year = {2021}
}
Comments
to appear in Journal of Theoretical Probability