2007/11/01 by Peter K. Friz, Friz, Peter, Harald Oberhauser +1
Economics, Econometrics and Finance · Mathematics · #60G15 #60G17 #FOS: Mathematics #Probability (math.PR) #Probability and Statistical Research #Stochastic processes and financial applications #advanced mathematical theories
paper · pdf · doi:10.48550/arxiv.0711.0163
openalex publication_date 2007/11/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Optimal sample path properties of stochastic processes often involve generalized Hölder- or variation norms. Following a classical result of Taylor, the exact variation of Brownian motion is measured in terms of ψ(x) ≡ x2/log log (1/x) near 0+. Such ψ-variation results extend to classes of processes with values in abstract metric spaces. (No Gaussian or Markovian properties are assumed.) To establish integrability properties of the ψ-variation we turn to a large class of Gaussian rough paths (e.g. Brownian motion and Lévy's area viewed as a process in a Lie group) and prove Gaussian integrability properties using Borell's inequality on abstract Wiener spaces. The interest in such results is that they are compatible with rough path theory and yield certain sharp regularity and integrability properties (for iterated Stratonovich integrals, for example) which would be difficult to obtain otherwise. At last, ψ-variation is identified as robust regularity property of solutions to (random) rough differential equations beyond semimartingales.