On the $\gamma$-Variation of Processes with Stationary Independent Increments
On the $\gamma$-Variation of Processes with Stationary Independent Increments
Let $\{X_t; t \geqq 0\}$ be a stochastic process in $R^N$ defined on the probability space $(\Omega, \mathscr{F}, \mathbf{P})$ which has stationary independent increments. Let $\nu$ be the Levy measure for $X_t$ and let $\beta = \inf\{\alpha > 0: \int_{|x| < 1}|x|^\alpha\nu(dx) < \infty\}$. For each $\omega \in \Omega$, let …