English

On (signed) Takagi-Landsberg functions: $p^{\text{th}}$ variation, maximum, and modulus of continuity

Probability 2019-07-02 v3

Abstract

We study a class XH\mathfrak X^H of signed Takagi-Landsberg functions with Hurst parameter H(0,1)H\in(0,1). We first show that the functions in XH\mathfrak X^H admit a linear pthp^{\text{th}} variation along the sequence of dyadic partitions of [0,1][0,1], where p=1/Hp=1/H. The slope of the linear increase can be represented as the pthp^{\text{th}} absolute moment of the infinite Bernoulli convolution with parameter 2H12^{H-1}. The existence of a continuous pthp^{\text{th}} variation enables the use of the functions in XH\mathfrak X^H as test integrators for higher-order pathwise It\^o calculus. Our next results concern the maximum, the maximizers, and the modulus of continuity of the classical Takagi-Landsberg function for all 0<H<10<H<1. Then we identify the uniform maximum, the uniform maximal oscillation, and a uniform modulus of continuity for the class XH\mathfrak X^H.

Keywords

Cite

@article{arxiv.1806.05702,
  title  = {On (signed) Takagi-Landsberg functions: $p^{\text{th}}$ variation, maximum, and modulus of continuity},
  author = {Yuliya Mishura and Alexander Schied},
  journal= {arXiv preprint arXiv:1806.05702},
  year   = {2019}
}