The multifractal nature of Lévy processes (Q1299977)

Multifractional analysis is concerned with the study of the sets \(S_h\) where a function \(f\) has a given Hölder exponent \(h\) and in particular with the determination of the Hausdorff dimension \(d(h)\) of \(S_h\). The function \(d(h)\) is called the spectrum of singularities of \(f\). The spectrum of singularities of the sample paths of deterministic Lévy processes, compound Poisson processes, Brownian motions, and superpositions thereof can easily be determined, it is different from \(-\infty\) only for \(h=0\) (compound Poisson process) and \(h=1/2\) (Brownian motion). Let \(X_t\) be a Lévy process with Lévy measure \(\pi(dx)\), and set \(C_j=\pi([2^{-j-1}, 2^{-j}]\cup [-2^{-j-1}, -2^{-j}])\), \(\beta=\sup\left(0,\limsup_{j\to\infty}{{\log C_j}\over{j\log 2}}\right).\) The author determines the spectrum of singularities for the sample paths of Lévy processes satisfying \(\beta>0\) and \(\sum 2^{-j} \sqrt{C_j \log(1+C_j)} \leq \infty\). He shows that under these assumptions its support contains (almost surely) an open interval, i.e.\ the sample paths are (almost surely) multifractional.