The generalized multifractional Brownian motion (Q5933664)
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scientific article; zbMATH DE number 1599664
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| English | The generalized multifractional Brownian motion |
scientific article; zbMATH DE number 1599664 |
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The generalized multifractional Brownian motion (English)
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14 August 2001
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Multifractional Brownian motion (MBM) is an extension of the ordinary fractional Brownian motion (FBM) by allowing the Hurst index \(H\) to be a Hölder continuous function of \(t\). The pointwise and local Hölder exponents of MBM is thus Hölder continuous. The authors construct a Gaussian process generalizing the MBM such that its pointwise and local Hölder exponents can be discontinuous or ``very irregular''.
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Gaussian processes
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fractional Brownian motion
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multifractional Brownian motion
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Hölder regularity
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pointwise Hölder exponent
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local Hölder exponent
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0.8780953288078308
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0.8771321177482605
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0.8719258904457092
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0.8638225793838501
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