2-microlocal analysis of martingales and stochastic integrals
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Publication:429291
DOI10.1016/j.spa.2012.03.011zbMath1263.60032arXiv1107.6016OpenAlexW2088311651MaRDI QIDQ429291
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
stochastic differential equationHölder regularitymultifractional Brownian motionBessel processesstochastic integraltwo-microlocal analysis
Fractional processes, including fractional Brownian motion (60G22) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Sample path properties (60G17) Stochastic integrals (60H05)
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New Exponents for Pointwise Singularity Classification, Generalized 2-microlocal frontier prescription, Local Hölder regularity for set-indexed processes, The multifractal nature of Volterra-Lévy processes, Regularity of an abstract Wiener integral
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