A new multifractional process with random exponent

DOI10.3233/RDA-180135MaRDI QIDQ3119661zbMATH OpenOpenAlexWikidataFDO

Authors Antoine Ayache, Céline Esser, Julien Hamonier

Publication date 12 March 2019

Published in Risk and Decision Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1803.02625

zbMATH Keywords

fractional Brownian motionHaar basisHölder regularityItô integralvarying Hurst parameter

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22)

Abstract: A first type of Multifractional Process with Random Exponent (MPRE) was constructed several years ago in (Ayache, Taqqu, 2005) by replacing in a wavelet series representation of Fractional Brownian Motion (FBM) the Hurst parameter by a random variable depending on the time variable. In the present article, we propose another approach for constructing another type of MPRE. It consists in substituting to the Hurst parameter, in a stochastic integral representation of the high-frequency part of FBM, a random variable depending on the integration variable. The MPRE obtained in this way offers, among other things, the advantages to have a representation through classical It^o integral and to be less difficult to simulate than the first type of MPRE, previously introduced in (Ayache, Taqqu, 2005). Yet, the study of H"older regularity of this new MPRE is a significantly more challenging problem than in the case of the previous one. Actually, it requires to develop a new methodology relying on an extensive use of the Haar basis.

Recommendations

• Multifractional processes with random exponent
• Wavelet construction of generalized multifractional processes
• Moving average multifractional processes with random exponent: lower bounds for local oscillations
• Regularity of multifractional moving average processes with random Hurst exponent
• Path properties of multifractal Brownian motion

Cited in

(9)

• Regularity of multifractional moving average processes with random Hurst exponent
• Multifractal processes: definition, properties and new examples
• Multifractional processes with random exponent
• Moving average multifractional processes with random exponent: lower bounds for local oscillations
• Uniformly and strongly consistent estimation for the random Hurst function of a multifractional process
• Fractional stable random fields on the Sierpiński gasket
• Simulation and analysis of multifractional stochastic processes with R package Rmfrac
• When is volatility fair? Hölder regularity and financial risk
• Wavelet construction of generalized multifractional processes

This page was built for publication: A new multifractional process with random exponent

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3119661)