2-microlocal analysis of martingales and stochastic integrals

DOI10.1016/j.spa.2012.03.011zbMath1263.60032arXiv1107.6016OpenAlexW2088311651MaRDI QIDQ429291

Paul Balança, Erick Herbin

Publication date: 19 June 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1107.6016

zbMATH Keywords

stochastic differential equationHölder regularitymultifractional Brownian motionBessel processesstochastic integraltwo-microlocal analysis

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Sample path properties (60G17) Stochastic integrals (60H05)

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New Exponents for Pointwise Singularity Classification ⋮ Generalized 2-microlocal frontier prescription ⋮ Local Hölder regularity for set-indexed processes ⋮ The multifractal nature of Volterra-Lévy processes ⋮ Regularity of an abstract Wiener integral

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