A Limit Theorem for Bernoulli Convolutions and the $$\Phi $$ Φ -Variation of Functions in the Takagi Class
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DOI: 10.1007/s10959-022-01157-1
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- Jim Gatheral & Thibault Jaisson & Mathieu Rosenbaum, 2018. "Volatility is rough," Quantitative Finance, Taylor & Francis Journals, vol. 18(6), pages 933-949, June.
- Han, Xiyue & Schied, Alexander & Zhang, Zhenyuan, 2021. "A probabilistic approach to the Φ-variation of classical fractal functions with critical roughness," Statistics & Probability Letters, Elsevier, vol. 168(C).
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Keywords
Wiener–Young $$Phi $$ Φ -variation; Takagi class; Pathwise Itô calculus; Infinite Bernoulli convolution; Central limit theorem; Stochastic process with prescribed $$Phi $$ Φ -variation;All these keywords.
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