The conjectured inequality for the fractional Brownian variation constant
Let be fractional Brownian motion with Hurst parameter , and let denote the constant governing its -th variation along deterministic partitions. The quantity is the corresponding constant for uniform Lebesgue partitions.
Variation-constant conjecture. For , the -th variation along deterministic partitions differs from that along uniform Lebesgue partitions, more precisely,
If true, this would show that captures a non-Markovian feature of fractional Brownian motion. The equality at follows from the strong Markov property of Brownian motion, whereas the proposed inequalities for remain open.
References
Primary source
Purba Das, Rafał Łochowski, Toyomu Matsuda and Nicolas Perkowski, “Level crossings of fractional Brownian motion”, arXiv:2308.08274 (2023).
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