On the $1/H$-variation of the divergence integral with respect to a Hermite process

Abstract

In this paper, a divergence-type integral of a random integrand with respect to the Hermite process of order $k\in \mathsf{N}$ with Hurst parameter $H\in (1/2,1)$ is defined and it is shown that the integral is of finite $1/H$-variation.

21 pages