Processes with prescribed local regularity
Let \(X=\{X(t):t\in [0,1]\}\) be a continuous and nowhere differentiable stochastic process. The Hölder process \(\alpha_X\) of \(X\) is defined by NEWLINE\[NEWLINE\alpha_X(t):=\sup\Bigl\{\alpha:\limsup_{h\to 0} |X(t+h)-X(t)|/|h|^{\alpha}=0\Bigr\}NEWLINE\]NEWLINE for each \(t\in [0,1]\). The authors construct a continuous random process \(W\) extending the Weierstrass function and whose Hölder process may be, with probability \(1\), any lower limit of continuous functions with values in \([0,1]\). The construction allows to build stochastic processes with an arbitrary singularities spectrum. These processes are not obtained via a multiplicative cascade and yet they can be multifractal.
- Continuous Gaussian multifractional processes with random pointwise Hölder regularity
- Self-regulating processes
- scientific article; zbMATH DE number 972660
- From the Brownian motion to a multifractal process using the Lévy-Ciesielski construction
- Wavelet construction of generalized multifractional processes
- Multifractional, multistable, and other processes with Prescribed local form
- A theory of processes with localities
- Stochastic 2-microlocal analysis
- From the Brownian motion to a multifractal process using the Lévy-Ciesielski construction
- Self-regulating processes
- Continuous Gaussian multifractional processes with random pointwise Hölder regularity
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