2-microlocal analysis of martingales and stochastic integrals (Q429291): Difference between revisions

This paper studies the sample paths of continuous martingales and stochastic integrals. The main object of this paper is to study the regularity of continuous local martingales in order to obtain a link between pseudo 2-microlocal frontiers of the martingale on one hand and its quadratic variation on the other hand. It allows to link the Hölder regularity of a stochastic integral to the regularity of the integrand and integrator processes.

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reviewed by

Nicko G. Gamkrelidze

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zbMATH Keywords

two-microlocal analysis

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Bessel processes

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Hölder regularity

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multifractional Brownian motion

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stochastic differential equation

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stochastic integral

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MaRDI profile type

MaRDI publication profile

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cites work

Q3935962

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Singularity spectrum of multifractal functions involving oscillating singularities

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Multiparameter multifractional Brownian motion: local nondeterminism and joint continuity of the local times

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Multifractional processes with random exponent

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Hölder properties of local times for fractional Brownian motions

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A pure jump Markov process with a random singularity spectrum

0 references

Elliptic Gaussian random processes

0 references

Gaussian Processes with Stationary Increments: Local Times and Sample Function Properties

0 references

Gaussian Sample Functions: Uniform Dimension and Hölder Conditions Nowhere

0 references

MULTIFRACTIONAL PROPERTIES OF STOCK INDICES DECOMPOSED BY FILTERING THEIR POINTWISE HÖLDER REGULARITY

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Q3822600

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Sample path properties of the local time of multifractional Brownian motion

0 references

Q3846616

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Q4039736

0 references

From \(N\) parameter fractional Brownian motions to \(N\) parameter multifractional Brownian motions

0 references

Stochastic 2-microlocal analysis

0 references

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

0 references

Pointwise smoothness, two-microlocalization and wavelet coefficients

0 references

The multifractal nature of Lévy processes

0 references

Harmonic analysis of additive Lévy processes

0 references

A time domain characterization of the fine local regularity of functions.

0 references

Q3654103

0 references

Q4367302

0 references

Fractional Brownian Motions, Fractional Noises and Applications

0 references

Local times of multifractional Brownian sheets

0 references

Wavelets, Vibrations and Scalings

0 references

On pathwise uniqueness for stochastic heat equations with non-Lipschitz coefficients

0 references

Q4811448

0 references

Sample functions of the \(N\)-parameter Wiener process

0 references

How Often on a Brownian Path Does the Law of Iterated Logarithm Fail?

0 references

On the Hausdorff dimension of the Brownian slow points

0 references

Q4226355

0 references

Q4407625

0 references

Q3141895

0 references

A time domain characterization of 2-microlocal spaces

0 references

How rich is the class of multifractional Brownian motions?

0 references

An invariance principle for the law of the iterated logarithm

0 references

Q4664799

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Identifiers

zbMATH Open document ID

1263.60032

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DOI

10.1016/j.spa.2012.03.011

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:429291

@@ Property / review text @@
+This paper studies the sample paths of continuous martingales and stochastic integrals. The main object of this paper is to study the regularity of continuous local martingales in order to obtain a link between pseudo 2-microlocal frontiers of the martingale on one hand and its quadratic variation on the other hand. It allows to link the Hölder regularity of a stochastic integral to the regularity of the integrand and integrator processes.
+Normal rank
@@ Property / reviewed by @@
+Nicko G. Gamkrelidze
@@ Property / reviewed by: Nicko G. Gamkrelidze / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G07
@@ Property / Mathematics Subject Classification ID: 60G07 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G17
@@ Property / Mathematics Subject Classification ID: 60G17 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G22
@@ Property / Mathematics Subject Classification ID: 60G22 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G44
@@ Property / Mathematics Subject Classification ID: 60G44 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+H05
@@ Property / Mathematics Subject Classification ID: 60H05 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6047943
@@ Property / zbMATH DE Number: 6047943 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+two-microlocal analysis
@@ Property / zbMATH Keywords: two-microlocal analysis / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Bessel processes
@@ Property / zbMATH Keywords: Bessel processes / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Hölder regularity
@@ Property / zbMATH Keywords: Hölder regularity / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+multifractional Brownian motion
@@ Property / zbMATH Keywords: multifractional Brownian motion / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic differential equation
@@ Property / zbMATH Keywords: stochastic differential equation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic integral
@@ Property / zbMATH Keywords: stochastic integral / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2088311651
@@ Property / OpenAlex ID: W2088311651 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.6016
@@ Property / arXiv ID: 1107.6016 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3935962
@@ Property / cites work: Q3935962 / rank @@
+Normal rank
@@ Property / cites work @@
+Singularity spectrum of multifractal functions involving oscillating singularities
+Normal rank
@@ Property / cites work @@
+Multiparameter multifractional Brownian motion: local nondeterminism and joint continuity of the local times
+Normal rank
@@ Property / cites work @@
+Multifractional processes with random exponent
@@ Property / cites work: Multifractional processes with random exponent / rank @@
+Normal rank
@@ Property / cites work @@
+Hölder properties of local times for fractional Brownian motions
+Normal rank
@@ Property / cites work @@
+A pure jump Markov process with a random singularity spectrum
+Normal rank
@@ Property / cites work @@
+Elliptic Gaussian random processes
@@ Property / cites work: Elliptic Gaussian random processes / rank @@
+Normal rank
@@ Property / cites work @@
+Gaussian Processes with Stationary Increments: Local Times and Sample Function Properties
+Normal rank
@@ Property / cites work @@
+Gaussian Sample Functions: Uniform Dimension and Hölder Conditions Nowhere
+Normal rank
@@ Property / cites work @@
+MULTIFRACTIONAL PROPERTIES OF STOCK INDICES DECOMPOSED BY FILTERING THEIR POINTWISE HÖLDER REGULARITY
+Normal rank
@@ Property / cites work @@
+Q3822600
@@ Property / cites work: Q3822600 / rank @@
+Normal rank
@@ Property / cites work @@
+Sample path properties of the local time of multifractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Q3846616
@@ Property / cites work: Q3846616 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4039736
@@ Property / cites work: Q4039736 / rank @@
+Normal rank
@@ Property / cites work @@
+From \(N\) parameter fractional Brownian motions to \(N\) parameter multifractional Brownian motions
+Normal rank
@@ Property / cites work @@
+Stochastic 2-microlocal analysis
@@ Property / cites work: Stochastic 2-microlocal analysis / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Pointwise smoothness, two-microlocalization and wavelet coefficients
+Normal rank
@@ Property / cites work @@
+The multifractal nature of Lévy processes
@@ Property / cites work: The multifractal nature of Lévy processes / rank @@
+Normal rank
@@ Property / cites work @@
+Harmonic analysis of additive Lévy processes
@@ Property / cites work: Harmonic analysis of additive Lévy processes / rank @@
+Normal rank
@@ Property / cites work @@
+A time domain characterization of the fine local regularity of functions.
+Normal rank
@@ Property / cites work @@
+Q3654103
@@ Property / cites work: Q3654103 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4367302
@@ Property / cites work: Q4367302 / rank @@
+Normal rank
@@ Property / cites work @@
+Fractional Brownian Motions, Fractional Noises and Applications
+Normal rank
@@ Property / cites work @@
+Local times of multifractional Brownian sheets
@@ Property / cites work: Local times of multifractional Brownian sheets / rank @@
+Normal rank
@@ Property / cites work @@
+Wavelets, Vibrations and Scalings
@@ Property / cites work: Wavelets, Vibrations and Scalings / rank @@
+Normal rank
@@ Property / cites work @@
+On pathwise uniqueness for stochastic heat equations with non-Lipschitz coefficients
+Normal rank
@@ Property / cites work @@
+Q4811448
@@ Property / cites work: Q4811448 / rank @@
+Normal rank
@@ Property / cites work @@
+Sample functions of the \(N\)-parameter Wiener process
+Normal rank
@@ Property / cites work @@
+How Often on a Brownian Path Does the Law of Iterated Logarithm Fail?
+Normal rank
@@ Property / cites work @@
+On the Hausdorff dimension of the Brownian slow points
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4407625
@@ Property / cites work: Q4407625 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3141895
@@ Property / cites work: Q3141895 / rank @@
+Normal rank
@@ Property / cites work @@
+A time domain characterization of 2-microlocal spaces
+Normal rank
@@ Property / cites work @@
+How rich is the class of multifractional Brownian motions?
+Normal rank
@@ Property / cites work @@
+An invariance principle for the law of the iterated logarithm
+Normal rank
@@ Property / cites work @@
+Q4664799
@@ Property / cites work: Q4664799 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:429291