Finite Variation of Fractional Levy Processes

Details Finite Variation of Fractional Levy Processes Finite Variation of Fractional Levy Processes

2010-12-29

arxiv.org/abs/1012.5942v1

Mathematics

Probability

to appear in Journal of Theoretical Probability

Scientific paper

Various characterizations for fractional Levy process to be of finite
variation are obtained, one of which is in terms of the characteristic triplet
of the driving Levy process, while others are in terms of differentiability
properties of the sample paths. A zero-one law and a formula for the expected
total variation is also given.

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