The conjectured inequality for the fractional Brownian variation constant

Let BH=(BtH)t0B^H=(B_t^H)_{t\geq 0} be fractional Brownian motion with Hurst parameter H(0,1)H\in(0,1), and let cH\mathfrak{c}_H denote the constant governing its (1/H)(1/H)-th variation along deterministic partitions. The quantity E[B1H1/H]\mathbb{E}[|B_1^H|^{1/H}] is the corresponding constant for uniform Lebesgue partitions.

Variation-constant conjecture. For H1/2H\neq 1/2, the (1/H)(1/H)-th variation along deterministic partitions differs from that along uniform Lebesgue partitions, more precisely,

{cH>E[B1H1/H]if H<1/2,cH<E[B1H1/H]if H>1/2.\begin{cases} \mathfrak{c}_H > \mathbb{E}[|B_1^H|^{1/H}] & \text{if } H<1/2,\\ \mathfrak{c}_H < \mathbb{E}[|B_1^H|^{1/H}] & \text{if } H>1/2. \end{cases}

If true, this would show that cH\mathfrak{c}_H captures a non-Markovian feature of fractional Brownian motion. The equality at H=1/2H=1/2 follows from the strong Markov property of Brownian motion, whereas the proposed inequalities for H1/2H\neq 1/2 remain open.

Sources & referencesView supporting material

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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