The conjectured inequality for the fractional Brownian variation constant
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.
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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