A probabilistic approach to the Φ-variation of classical fractal functions with critical roughness
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DOI: 10.1016/j.spl.2020.108920
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- Hans Follmer & Alexander Schied, 2013. "Probabilistic aspects of finance," Papers 1309.7759, arXiv.org.
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Cited by:
- Xiyue Han & Alexander Schied & Zhenyuan Zhang, 2022. "A Limit Theorem for Bernoulli Convolutions and the $$\Phi $$ Φ -Variation of Functions in the Takagi Class," Journal of Theoretical Probability, Springer, vol. 35(4), pages 2853-2878, December.
- Xiyue Han & Alexander Schied, 2021. "The roughness exponent and its model-free estimation," Papers 2111.10301, arXiv.org, revised Jun 2024.
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Keywords
Weierstraß function; Takagi–van der Waerden functions; Wiener–Young Φ-variation; Martingale central limit theorem; Markov chain central limit theorem;All these keywords.
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