On the cross-variation of a class of stochastic processes
The present paper deals with the study of the cross-variation of two-dimensional stochastic process defined using the Young integral with respect to a continuous, α-self-similar Gaussian process that does not necessarily have stationary increments, with increment exponent some β>0. We analyze the...
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2024-11-01
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| Series: | Results in Applied Mathematics |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2590037424000797 |
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| Summary: | The present paper deals with the study of the cross-variation of two-dimensional stochastic process defined using the Young integral with respect to a continuous, α-self-similar Gaussian process that does not necessarily have stationary increments, with increment exponent some β>0. We analyze the limit, in probability, of the so-called cross-variation when β in 0,2α, and we finish by providing some examples of known processes that satisfy the required assumptions. |
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| ISSN: | 2590-0374 |