Gaussian Volterra processes with power-type kernels. I (Q2172945): Difference between revisions

The authors study the asymptotic properties of the variances and bounds for the variances of the increments of the following process: \[ X_t=\int_0^ts^{\alpha}(\int_s^tu^{\beta}(u-s)^{\gamma}du)dW_s, \] where \(W_t\) is a standard Wiener process, \(\alpha>-1/2, \gamma>-1, \alpha+\beta+\gamma>-3/2.\) It was also proved that the process \(X_t\) satisfies the single-point Hölder condition up to certain order that depends on those three parameters, \(\alpha,\beta,\gamma.\)