Stochastic 2-microlocal analysis

DOI10.1016/J.SPA.2008.11.005zbMATH Open1175.60032arXivmath/0504551OpenAlexW2083411800MaRDI QIDQ2389231FDOQ2389231

Authors: Erick Herbin, Jacques Lévy-Véhel 

Publication date: 15 July 2009

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

Abstract: A lot is known about the H"older regularity of stochastic processes, in particular in the case of Gaussian processes. Recently, a finer analysis of the local regularity of functions, termed 2-microlocal analysis, has been introduced in a deterministic frame: through the computation of the so-called 2-microlocal frontier, it allows in particular to predict the evolution of regularity under the action of (pseudo-) differential operators. In this work, we develop a 2-microlocal analysis for the study of certain stochastic processes. We show that moments of the increments allow, under fairly general conditions, to obtain almost sure lower bounds for the 2-microlocal frontier. In the case of Gaussian processes, more precise results may be obtained: the incremental covariance yields the almost sure value of the 2-microlocal frontier. As an application, we obtain new and refined regularity properties of fractional Brownian motion, multifractional Brownian motion, stochastic generalized Weierstrass functions, Wiener and stable integrals.

Full work available at URL: https://arxiv.org/abs/math/0504551

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zbMATH Keywords

Gaussian processes[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=H%EF%BF%BD%EF%BF%BDlder+regularity&go=Go H��lder regularity]multiparameter processes2-microlocal analysis(multi)fractional Brownian motion

Mathematics Subject Classification ID

Gaussian processes (60G15) Sample path properties (60G17) Self-similar stochastic processes (60G18) Foundations of stochastic processes (60G05)

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Cited In (15)

• MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS
• Generalized 2-microlocal frontier prescription
• A fractional Brownian field indexed by \(L^2\) and a varying Hurst parameter
• 2-microlocal analysis of martingales and stochastic integrals
• Continuous Gaussian multifractional processes with random pointwise Hölder regularity
• Multi-operator scaling random fields
• From \(N\) parameter fractional Brownian motions to \(N\) parameter multifractional Brownian motions
• Title not available (Why is that?)
• The multifractal nature of Volterra-Lévy processes
• White noise-based stochastic calculus with respect to multifractional Brownian motion
• Some sample path properties of multifractional Brownian motion
• Some singular sample path properties of a multiparameter fractional Brownian motion
• A general class of multifractional processes and stock price informativeness
• Regularity of an abstract Wiener integral
• Local Hölder regularity for set-indexed processes

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