Harmonizable multifractional stable field: sharp results on sample path behavior

DOI10.1016/J.SPA.2025.104638MaRDI QIDQ6976270zbMATH OpenFDO

Authors Antoine Ayache, Christophe Louckx

Publication date 2 June 2025

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

Full work available at URL https://doi.org/10.1016/J.SPA.2025.104638

zbMATH Keywords

harmonizable multifractional stable fieldheavy-tailed stable distributionsmoduli of continuitysample path roughnessvarying Hurst parameterwavelet random series

Mathematics Subject Classification ID

Sample path properties (60G17) Fractional processes, including fractional Brownian motion (60G22) Stable stochastic processes (60G52) Random fields (60G60)

Cites work

• An optimal uniform modulus of continuity for harmonizable fractional stable motion
• Elliptic Gaussian random processes
• Estimation of the global regularity of a multifractional Brownian motion
• Harmonizable fractional stable fields: local nondeterminism and joint continuity of the local times
• How rich is the class of multifractional Brownian motions?
• scientific article; zbMATH DE number 412139 (Why is no real title available?)
• scientific article; zbMATH DE number 1808203 (Why is no real title available?)
• scientific article; zbMATH DE number 4203373 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 1022658 (Why is no real title available?)
• Hölder regularity for operator scaling stable random fields
• Linear multifractional stable motion: fine path properties
• Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity
• Multi-operator scaling random fields
• Multifractional processes in finance
• Multifractional stochastic fields. Wavelet strategies in multifractional frameworks
• Multifractional, multistable, and other processes with Prescribed local form
• Multiparameter multifractional Brownian motion: local nondeterminism and joint continuity of the local times
• Nonhomogeneous fractional integration and multifractional processes
• Path properties of the linear multifractional stable motion
• Rate optimality of wavelet series approximations of fractional Brownian motion
• Real harmonizable multifractional Lévy motions
• Real harmonizable multifractional stable process and its local properties
• Regularity of multifractional moving average processes with random Hurst exponent
• Stationary increments harmonizable stable fields: upper estimates on path behaviour
• Ten Lectures on Wavelets
• Two classes of self-similar stable processes with stationary increments
• Wavelet construction of generalized multifractional processes

Cited in

(2)

• Simulation and analysis of multifractional stochastic processes with R package Rmfrac
• On directional sample path behavior of harmonizable fractional stable sheets

This page was built for publication: Harmonizable multifractional stable field: sharp results on sample path behavior

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6976270)