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Title
Realized power variation of some fractional stochastic integrals / Stefan Schneeberger
AuthorSchneeberger, Stefan
CensorSchachermayer, Walter
Published2009
DescriptionIV, 50 Bl.
Institutional NoteWien, Techn. Univ., Dipl.-Arb., 2009
LanguageEnglish
Document typeThesis (Diplom)
Keywords (DE)gebrochene Brownsche Bewegung / fraktionale stochastische Integrale / p-Variation / alpha-stabile Levy-Prozesse
Keywords (EN)fractional Brownian Motion / fractional stochastic integrals / realized power variation /alpha-stable Levy processes
URNurn:nbn:at:at-ubtuw:1-25441 Persistent Identifier (URN)
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 The work is publicly available
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Realized power variation of some fractional stochastic integrals [0.91 mb]
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Abstract (German)

Die Arbeit beschäftigt sich mit der realisierten p-Variation (und Verallgemeinerungen davon) von bestimmten Klassen stochastischer Prozesse (fraktionale stochastische Integrale und integrierte stabile Prozesse).

Abstract (English)

The thesis is concerned with the realied power variation (and some generalization thereof) of certain classes of stochastic processes (fractional stochastic integrals and integrated stable processes).

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