Fluctuations of the power variation of fractional Brownian motion in Brownian time
Raghid Zeineddine
TL;DR
This paper investigates the behavior of power variations of fractional Brownian motion when observed in Brownian time, revealing new fluctuation properties relevant for stochastic process analysis.
Contribution
It introduces a novel analysis of power variation fluctuations for fractional Brownian motion in Brownian time, extending existing stochastic process theories.
Findings
Characterization of fluctuation behavior in fractional Brownian motion in Brownian time
Identification of new limit theorems for power variations
Insights into the stochastic properties of time-changed processes
Abstract
We study the fluctuations of the power variation of fractional Brownian motion in Brownian time
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Taxonomy
TopicsStochastic processes and financial applications · Complex Systems and Time Series Analysis · Financial Risk and Volatility Modeling