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.