Multifractional processes with random exponent
From MaRDI portal
Publication:2574026
DOI10.5565/PUBLMAT_49205_11zbMath1082.60032MaRDI QIDQ2574026
Antoine Ayache, Murad S. Taqqu
Publication date: 28 November 2005
Published in: Publicacions Matemàtiques (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/41569
Related Items (31)
Multifractal processes: definition, properties and new examples ⋮ Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process ⋮ Multifractality of jump diffusion processes ⋮ Time-varying Hurst-Hölder exponents and the dynamics of (in)efficiency in stock markets ⋮ Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates ⋮ Stochastic Volatility and Multifractional Brownian Motion ⋮ Stochastic 2-microlocal analysis ⋮ Moving average multifractional processes with random exponent: lower bounds for local oscillations ⋮ Behaviour of linear multifractional stable motion: membership of a critical Hölder space ⋮ Multifractional Hermite processes: definition and first properties ⋮ A statistical test of market efficiency based on information theory ⋮ Unnamed Item ⋮ Multiparameter multifractional Brownian motion: local nondeterminism and joint continuity of the local times ⋮ General transfer formula for stochastic integral with respect to multifractional Brownian motion ⋮ 2-microlocal analysis of martingales and stochastic integrals ⋮ Modelling NASDAQ series by sparse multifractional Brownian motion ⋮ Unnamed Item ⋮ Modeling single-file diffusion with step fractional Brownian motion and a generalized fractional Langevin equation ⋮ Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity ⋮ Some sample path properties of multifractional Brownian motion ⋮ Regularity of multifractional moving average processes with random Hurst exponent ⋮ MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS ⋮ Linear multifractional stable motion: fine path properties ⋮ A fractional Brownian field indexed by \(L^2\) and a varying Hurst parameter ⋮ On the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motion ⋮ Continuous Gaussian multifractional processes with random pointwise Hölder regularity ⋮ Wavelet analysis of a multifractional process in an arbitrary Wiener chaos ⋮ On mean square displacement behaviors of anomalous diffusions with variable and random orders ⋮ PATH PROPERTIES OF THE LINEAR MULTIFRACTIONAL STABLE MOTION ⋮ Statistical Estimation for a Class of Self‐Regulating Processes ⋮ Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
This page was built for publication: Multifractional processes with random exponent
