| Title |
p-variation of Ornstein-Uhlenbeck type processes |
| Translation of Title |
Ornšteino-Ulenbeko tipo procesų p-variacija. |
| Authors |
Manstavičius, Martynas |
| DOI |
10.15388/LMR.2007.18186 |
| Full Text |
|
| Is Part of |
Lietuvos matematikos rinkinys. 2007, t. 47, spec. nr, p. 63-67.. ISSN 0132-2818 |
| Keywords [eng] |
Ornstein-Uhlenbeck type process ; Levy process ; P-variation |
| Abstract [eng] |
The p-variation of sample paths of Ornstein-Uhlenbeck type processes is investigated. It is shown that the p-variation index of such a process is the same as the p-variation index of the driving Levy process, provided this process is of unbounded total variation. |
| Type |
Journal article |
| Language |
English |
| Publication date |
2007 |
| CC license |
|
