2-microlocal analysis of martingales and stochastic integrals (Q429291)
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scientific article; zbMATH DE number 6047943
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| English | 2-microlocal analysis of martingales and stochastic integrals |
scientific article; zbMATH DE number 6047943 |
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2-microlocal analysis of martingales and stochastic integrals (English)
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19 June 2012
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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.
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two-microlocal analysis
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Bessel processes
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Hölder regularity
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multifractional Brownian motion
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stochastic differential equation
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stochastic integral
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0.88966584
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0.8814877
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0.87957805
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