Quadratic Variations along Irregular Subdivisions for Gaussian Processes

Arnaud Begyn
2005 Electronic Journal of Probability  
In this paper we deal with second order quadratic variations along general subdivisions for processes with Gaussian increments. These have almost surely a deterministic limit under conditions on the mesh of the subdivisions. This limit depends on the singularity function of the process and on the structure of the subdivisions too. Then we illustrate the results with the example of the time-space deformed fractional Brownian motion and we present some simulations.
doi:10.1214/ejp.v10-245 fatcat:k4kuvnekzncuvh7ddmjifi7tsq