On (signed) Takagi-Landsberg functions: $p^{\text{th}}$ variation, maximum, and modulus of continuity
Probability
2019-07-02 v3
Abstract
We study a class of signed Takagi-Landsberg functions with Hurst parameter . We first show that the functions in admit a linear variation along the sequence of dyadic partitions of , where . The slope of the linear increase can be represented as the absolute moment of the infinite Bernoulli convolution with parameter . The existence of a continuous variation enables the use of the functions in 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 . Then we identify the uniform maximum, the uniform maximal oscillation, and a uniform modulus of continuity for the class .
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}
}