2-microlocal analysis of martingales and stochastic integrals

DOI10.1016/J.SPA.2012.03.011MaRDI QIDQ429291zbMATHOpenAlexFDO

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

stochastic differential equationBessel processesstochastic integralmultifractional Brownian motiontwo-microlocal analysisHölder regularity

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Sample path properties (60G17) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) General theory of stochastic processes (60G07)

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.

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Cited in

(6)

• Regularity of an abstract Wiener integral
• Stochastic 2-microlocal analysis
• Generalized 2-microlocal frontier prescription
• New exponents for pointwise singularity classification
• Local Hölder regularity for set-indexed processes
• The multifractal nature of Volterra-Lévy processes

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