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Let  \\[  B(t,H)=\\int_R((t-x)_{+}^{H-1/2}-(-x)_{+}^{H-1/2})dW(x),  \\]  where \\(W\\) is the standard Wiener process, \\(H\\in(0,1)\\) and \\(S(t)\\) is some stochastic process (maybe dependent on \\(W\\) and non-stationary). Then \\(Z(t)=B(t,S(t))\\) is MPRE and \\(S\\) is its random exponent. (Note that for fixed \\(S(t)=H\\), \\(Z(t)=B(t,H)\\) is a fractional Brownian motion with Hurst parameter \\(H\\).) The authors describe local properties of \\(Z(t)\\), e.g. derive conditions under which the pointwise H\u00f6lder exponent of \\(Z(t)\\) is \\(S(t)\\) and the global H\u00f6lder exponent over \\(J\\) is \\(\\inf_{t\\in J}S(t)\\). It is shown that if \\(S\\) is a stationary process independent of \\(W\\), then \\(Z(at)\\) has the same distribution as \\(a^{S(t)}Z(t)\\) for any fixed \\(a>0\\) and \\(t\\). The proofs are based on wavelet decompositions of the random field \\(\\{B(t,H), \\;t\\in[0,1], 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