On the Ф‐variation of stochastic processes with exponential moments
On the Ф‐variation of stochastic processes with exponential moments
We obtain sharp sufficient conditions for exponentially integrable stochastic processes , to have sample paths with bounded ‐variation. When is moreover Gaussian, we also provide a bound of the expectation of the associated ‐variation norm of . For a Hermite process of order and of Hurst index , we show …