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math.PR2010
When does fractional Brownian motion not behave as a continuous function with bounded variation?
Ehsan Azmoodeh, Heikki Tikanmäki, Esko Valkeila
If we compose a smooth function g with fractional Brownian motion B with Hurst index H > 1/2, then the resulting change of variables formula [or It/^o- formula] has the same form a…
math.PR2010
Spectral characterization of the quadratic variation of mixed Brownian fractional Brownian motion
Ehsan Azmoodeh, Esko Valkeila
Dzhaparidze and Spreij [5] showed that the quadratic variation of a semimartingale can be approximated using a randomized periodogram. We show that the same approximation is valid…