The conjectured inequality for the fractional Brownian variation constant

About 3 years old · traced to

Let BH=(BtH)t≥0B^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[∣B1H∣1/H]\mathbb{E}[|B_1^H|^{1/H}] is the corresponding constant for uniform Lebesgue partitions.

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

{cH>E[∣B1H∣1/H]if H<1/2,cH<E[∣B1H∣1/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 H≠1/2H\neq 1/2 remain open.

References

Primary source

Purba Das, Rafał Łochowski, Toyomu Matsuda and Nicolas Perkowski, “Level crossings of fractional Brownian motion”, arXiv:2308.08274 (2023).

Progress summary

Never refreshed

Nothing recorded yet. Refresh searches the literature and the public web for attempts on this problem, and writes the first summary here.

Solutions 0

No solutions have been posted yet.