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Proof of the conjecture about inequality of $1/H$-variations of fractional Brownian motion along the equidistant and the Lebesgue partitions

Bednorz, W. M. et al.
arXiv (All) · Papers
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probability
We give an analytic proof of the comparison conjectured by Das, Łochowski, Matsuda and Perkowski for the fractional Brownian level-crossing constant: for standard fractional Brownian motion, $c_H>\mathbb{E}|Z|^{1/H}$ when $0<H<1/2$ and $c_H<\mathbb{E}|Z|^{1/H}$ when $1/2<H<1$, where $Z\sim N(0,1)$.
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