The generalized multifractional field: A nice tool for the study of the generalized multifractional Brownian motion (Q1565956): Difference between revisions
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Latest revision as of 23:24, 19 March 2024
scientific article
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English | The generalized multifractional field: A nice tool for the study of the generalized multifractional Brownian motion |
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The generalized multifractional field: A nice tool for the study of the generalized multifractional Brownian motion (English)
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13 October 2003
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The fractional Brownian motion sheet is extended to a Gaussian field \(Y\) defined either with respect to its covariance kernel or as a Wiener integral. Then, a Gaussian process (namely a generalized multifractional Brownian motion, GMB motion) \(X\) is defined as \(X: t\mapsto Y(t,t)\); the Hölder exponent of such a process may differ widely point to point. A wavelet decomposition of \(Y\) allows to obtain some uniform Hölder properties. Finally, the difference between two GMB motions which have the same local Hölder exponents is a smoother process (i.e. its Hölder exponent is larger).
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Gaussian processes
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fractional Brownian motion
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wavelet decomposition
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