Fine regularity of Lévy processes and linear (multi)fractional stable motion

DOI10.1214/EJP.V19-3393MaRDI QIDQ2514293zbMATH OpenFDO

Authors Paul Balança

Publication date 3 February 2015

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1302.3140

zbMATH Keywords

2-microlocal analysisHölder regularityLévy processeslinear fractional stable motionmultifractal spectrumoscillating singularities

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Sample path properties (60G17) Fractional processes, including fractional Brownian motion (60G22) Martingales with continuous parameter (60G44) Processes with independent increments; Lévy processes (60G51)

Abstract: In this work, we investigate the fine regularity of L'evy processes using the 2-microlocal formalism. This framework allows us to refine the multifractal spectrum determined by Jaffard and, in addition, study the oscillating singularities of L'evy processes. The fractal structure of the latter is proved to be more complex than the classic multifractal spectrum and is determined in the case of alpha-stable processes. As a consequence of these fine results and the properties of the 2-microlocal frontier, we are also able to completely characterise the multifractal nature of the linear fractional stable motion (extension of fractional Brownian motion to {alpha}-stable measures) in the case of continuous and unbounded sample paths as well. The regularity of its multifractional extension is also presented, indirectly providing an example of a stochastic process with a non-homogeneous and random multifractal spectrum.

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Cited in

(19)

• Multifractality of jump diffusion processes
• Regularity of multifractional moving average processes with random Hurst exponent
• Hausdorff, large deviation and Legendre multifractal spectra of Lévy multistable processes
• On the monofractality of many stationary continuous Gaussian fields
• Time regularity of Lévy-type evolution in Hilbert spaces and of some \(\alpha \)-stable processes
• Regularity of an abstract Wiener integral
• Multifractal properties of sample paths of ground state-transformed jump processes
• Generalized 2-microlocal frontier prescription
• A uniform law for convergence to the local times of linear fractional stable motions
• Moving average multifractional processes with random exponent: lower bounds for local oscillations
• Intermittency in the small-time behavior of Lévy processes
• The multifractal nature of Boltzmann processes
• Behaviour of linear multifractional stable motion: membership of a critical Hölder space
• Some sample path properties of multifractional Brownian motion
• BOUNDS ON THE SUPPORT OF THE MULTIFRACTAL SPECTRUM OF STOCHASTIC PROCESSES
• Restricting isotropic α-stable Lévy processes from to fractal sets
• Constructing self-similar subsets within the fractal support of lacunary wavelet series for their multifractal analysis
• Harmonizable fractional stable motion: asymptotically normal estimators for both parameters
• The multifractal nature of Volterra-Lévy processes

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