most citedEstimating the p-variation index of a sample function: An application to financial data set

2 citations · 3 across the 2 of their papers we have counts for

collaborators

2 papers

math.PR2010★ 1 cited

Stochastic evolution equations driven by Liouville fractional Brownian motion

Zdzislaw Brzezniak, Jan van Neerven, Donna Salopek

Let H be a Hilbert space and E a Banach space. We set up a theory of stochastic integration of L(H,E)-valued functions with respect to H-cylindrical Liouville fractional Brownian m…

math.ST2000★ 2 cited

Estimating the p-variation index of a sample function: An application to financial data set

R. Norvaisa, D. M. Salopek

This paper modifies a box-counting method of estimating a fractal dimension of a graph, and applies it to estimate the roughness of a sample function of a stochastic process such a…