Moving average multifractional processes with random exponent: lower bounds for local oscillations

DOI10.1016/j.spa.2022.01.003zbMath1492.60095MaRDI QIDQ2668496

Antoine Ayache, Florent Bouly

Publication date: 7 March 2022

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

Full work available at URL: https://doi.org/10.1016/j.spa.2022.01.003

zbMATH Keywords

fractional Brownian motion; Itô integral; pointwise Hölder regularity; varying Hurst parameter

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

60G17: Sample path properties

60G18: Self-similar stochastic processes

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Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity

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