A1965
Title: Moduli of continuity of Brownian motion and related processes over an expanding time interval
Authors: Shin Kanaya - Kyoto University and University of Essex (Japan) [presenting]
Jihyun Kim - Sung Kyun Kwan University (Korea, South)
Joon Park - Indiana University (United States)
Abstract: Sharp results on the uniform path continuity properties of Brownian motion and related continuous-time processes, such as Brownian semimartingales and Gaussian processes, are established over an expanding time interval [0,T], where T tends to infinity. While such continuity properties are well known over a fixed time span, they have not been investigated in full generality in the long span setting where T grows. The theoretical implications of these results for the estimation of continuous-time processes from discretely observed samples and for volatility regressions are further discussed.
