Acta mathematica scientia, Series B >
POWER VARIATION OF SUBFRACTIONAL BROWNIAN MOTION AND APPLICATION
Received date: 2012-08-13
Revised date: 2012-11-02
Online published: 2013-07-20
Supported by
Guangjun Shen is partially supported by National Natural Science Foundation of China (11271020), Natural Science Foundation of Anhui Province
(1208085MA11, 1308085QA14) and Key Natural Science Foundation of Anhui Educational Committee (KJ2011A139, KJ2012ZD01, KJ2013A133). Litan Yan is partially supported by National Natural Science Foundation of China (11171062), Innovation Program of Shanghai Municipal Education Commission (12ZZ063). Junfeng Liu is partially supported by Mathematical Tianyuan Foundation of China (11226198).
In this paper, we consider the power variation of subfractional Brownian mo-tion. As an application, we introduce a class of estimators for the index of a subfractional Brownian motion and show that they are strongly consistent.
SHEN Guang-Jun , YAN Li-Tan , LIU Jun-Feng . POWER VARIATION OF SUBFRACTIONAL BROWNIAN MOTION AND APPLICATION[J]. Acta mathematica scientia, Series B, 2013 , 33(4) : 901 -912 . DOI: 10.1016/S0252-9602(13)60049-1
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