2-microlocal analysis of martingales and stochastic integrals

DOI10.1016/J.SPA.2012.03.011MaRDI QIDQ429291zbMATH OpenOpenAlexFDO

Authors Paul Balança, Erick Herbin

Publication date 19 June 2012

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

Full work available at URL https://arxiv.org/abs/1107.6016

zbMATH Keywords

Bessel processesHölder regularitymultifractional Brownian motionstochastic differential equationstochastic integraltwo-microlocal analysis

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) Stochastic integrals (60H05)

Abstract: Recently, a new approach in the fine analysis of stochastic processes sample paths has been developed to predict the evolution of the local regularity under (pseudo-)differential operators. In this paper, we study the sample paths of continuous martingales and stochastic integrals. We proved that the almost sure 2-microlocal frontier of a martingale can be obtained through the local regularity of its quadratic variation. It allows to link the H"older regularity of a stochastic integral to the regularity of the integrand and integrator processes. These results provide a methodology to predict the local regularity of diffusions from the fine analysis of its coefficients. We illustrate our work with examples of martingales with unusual complex regularity behavior and square of Bessel processes.

Review text

This paper studies the sample paths of continuous martingales and stochastic integrals. The main object of this paper is to study the regularity of continuous local martingales in order to obtain a link between pseudo 2-microlocal frontiers of the martingale on one hand and its quadratic variation on the other hand. It allows to link the Hölder regularity of a stochastic integral to the regularity of the integrand and integrator processes.

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Cited in

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