Year: 2011
Type: preprint
Abstract: We discuss $p$-variation regularity of real-valued functions defined on $[0,T]^2$, based on rectangular increments. When $p>1$, there are two slightly different notions of $p$-variation; both of which are useful in the context of Gaussian rough paths. Unfortunately, these concepts were blurred in previous works; the purpose of this note is to show that the aforementioned notions of $p$-variations are "$ε$-close". In particular, all arguments relevant for Gaussian rough paths go through with minor notational changes.
Source: arXiv (Cornell University)
Authors: Friz, Peter, Victoir, Nicolas
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2951707489