On a class of self-similar processes with stationary increments in higher order Wiener chaoses

DOI10.1016/J.SPA.2014.02.012MaRDI QIDQ402486zbMATH OpenOpenAlexFDO

Authors Benjamin Arras

Publication date 28 August 2014

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

Full work available at URL https://arxiv.org/abs/1211.4343

zbMATH Keywords

Hausdorff dimensionsample pathsself-similar processeswavelet expansionHölder regularitymultiple Wiener-Itō integral

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Fractional processes, including fractional Brownian motion (60G22) Hausdorff and packing measures (28A78) Fractals (28A80) Sample path properties (60G17) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Abstract: We study a class of self-similar processes with stationary increments belonging to higher order Wiener chaoses which are similar to Hermite processes. We obtain an almost sure wavelet-like expansion of these processes. This allows us to compute the pointwise and local H"older regularity of sample paths and to analyse their behaviour at infinity. We also provide some results on the Hausdorff dimension of the range and graphs of multidimensional anisotropic self-similar processes with stationary increments defined by multiple Wiener integrals.

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Cited in

(6)

• Lower bound for local oscillations of Hermite processes
• Representations of Hermite processes using local time of intersecting stationary stable regenerative sets
• Wavelet analysis of a multifractional process in an arbitrary Wiener chaos
• A useful result related with zeros of continuous compactly supported mother wavelets
• Multifractional Hermite processes: definition and first properties
• Selfsimilar processes with stationary increments in the second Wiener chaos

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