Hölder continuity of sample paths of some self-similar stable processes (Q805060): Difference between revisions

The Hölder continuity of H-selfsimilar \(\alpha\)-stable processes with stationary increments (H-ss si \(\alpha\)-stable) is examined. The harmonizable fractional stable process is a complex-valued process defined by \[ X(t)=\int^{+\infty}_{-\infty}((e^{it\lambda}- 1)/i\lambda)| \lambda |^{1-H-1/\alpha} dM_{\alpha}(\lambda), \] where \(0<H<1\) and \(M_{\alpha}\) is a complex rotationally invariant \(\alpha\)-stable Lévy process. Theorem 1. Let \(0<H<1\) and \(0<\alpha <2\). For the harmonizable fractional stable process, there exists a version \(X^*\) of X on [0,1] such that \[ \lim_{\delta \downarrow 0}\sup_{t,s\in [0,1],| t-s| \leq \delta}| X^*(t)-X^*(s)| /(| t-s|^ H| \log | t-s| |^{1/\alpha +1/2+\epsilon})=0\quad a.s. \] holds for any \(\epsilon >0.\) Theorem 2. Let \(\{\) X(t)\(\}\) be H-ss si \(\alpha\)-stable with \(1<\alpha <2\) and \(1/\alpha <H<1\). Then there exists a version \(X^*\) of X on [0,1] such that \[ \lim_{\delta \downarrow 0}\sup_{t,s\in [0,1],| t-s| \leq \delta}| X^*(t)-X^*(s)| /(| t-s|^{H- 1/\alpha}| \log | t-s| |^{1/\alpha +1+\epsilon})=0\quad a.s. \] holds for any \(\epsilon >0\).