Nonhomogeneous fractional integration and multifractional processes

DOI10.1016/j.spa.2007.04.003zbMath1131.60026OpenAlexW2094977023MaRDI QIDQ2469495

Donatas Surgailis

Publication date: 6 February 2008

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

Full work available at URL: https://doi.org/10.1016/j.spa.2007.04.003

zbMATH Keywords

long-range dependencemultifractional Brownian motionscaling limitsLiouville fractional operatorsnonhomogeneous fractional integration

Mathematics Subject Classification ID

General second-order stochastic processes (60G12) Fractional derivatives and integrals (26A33) Stochastic integrals (60H05) Self-similar stochastic processes (60G18) Appell, Horn and Lauricella functions (33C65)

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Stochastic Volatility and Multifractional Brownian Motion ⋮ On local path behavior of Surgailis multifractional processes ⋮ Behaviour of linear multifractional stable motion: membership of a critical Hölder space ⋮ Multifractional Hermite processes: definition and first properties ⋮ Local time and Tanaka formula for a Volterra-type multifractional Gaussian process ⋮ A generalized ARFIMA model with smooth transition fractional integration parameter ⋮ Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation ⋮ Measuring the roughness of random paths by increment ratios ⋮ Regularity of multifractional moving average processes with random Hurst exponent ⋮ Continuous Gaussian multifractional processes with random pointwise Hölder regularity ⋮ DETECTION OF NONCONSTANT LONG MEMORY PARAMETER ⋮ On the non-commutative multifractional Brownian motion

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