Local times for multifractional square Gaussian processes

MaRDI QIDQ2877276zbMATH OpenFDO

Authors G. M. Shevchenko

Publication date 21 August 2014

Published in Visnyk. Seriya: Fizyko-Matematychni Nauky. Kyïvs'kyĭ Universytet Imeni Tarasa Shevchenka (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1308.4695

zbMATH Keywords

local timemultifractional processRosenblatt process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22)

Abstract: We consider multifractional process given by double Ito--Wiener integrals, which generalize the multifractional Rosenblatt process. We prove that this process is continuous and has a square integrable local time.

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Cited in

(6)

• Nonparametric estimation of the local Hurst function of multifractional Gaussian processes
• Local Hölder exponent estimation for multivariate continuous time processes
• Localisable, multifractional and multistable processes
• Wavelet analysis of a multifractional process in an arbitrary Wiener chaos
• Local time and Tanaka formula for a Volterra-type multifractional Gaussian process
• Properties of Gaussian local times

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