A new multifractional process with random exponent

DOI10.3233/RDA-180135zbMath1409.60059arXiv1803.02625OpenAlexW2962950172WikidataQ129738400 ScholiaQ129738400MaRDI QIDQ3119661

Julien Hamonier, Antoine Ayache, Céline Esser

Publication date: 12 March 2019

Published in: Risk and Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.02625

zbMATH Keywords

fractional Brownian motionItô integralHölder regularityHaar basisvarying Hurst parameter

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22)

Related Items (3)

Moving average multifractional processes with random exponent: lower bounds for local oscillations ⋮ Unnamed Item ⋮ Regularity of multifractional moving average processes with random Hurst exponent

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