Behaviour of linear multifractional stable motion: membership of a critical Hölder space
From MaRDI portal
Publication:4584666
DOI10.1080/17442508.2016.1276910zbMATH Open1394.60031arXiv1608.04752OpenAlexW2964082551MaRDI QIDQ4584666FDOQ4584666
Julien Hamonier, Antoine Ayache
Publication date: 4 September 2018
Published in: Stochastics (Search for Journal in Brave)
Abstract: The study of path behaviour of stochastic processes is a classical topic in probability theory and related areas. In this frame, a natural question one can address is: whether or not sample paths belong to a critical H"older space? The answer to this question is negative in the case of Brownian motion and many other stochastic processes: it is well-known that despite the fact that Brownian paths satisfy, on each compact interval , a H"older condition of any order strictly less than , they fail to belong to the critical H"older space . In this article, we show that a different phenomenon happens in the case of linear multifractional stable motion (LMSM): for any given compact interval one can find a critical H"older space to which sample paths belong. Among other things, this result improves an upper estimate, recently derived in Bierm'e, Lacaux (2013), on behaviour of LMSM, by showing that the logarithmic factor in it is not needed.
Full work available at URL: https://arxiv.org/abs/1608.04752
Recommendations
- Path properties of the linear multifractional stable motion
- Linear multifractional stable motion: fine path properties
- Stochastic properties of the linear multifractional stable motion
- On the codifference of linear fractional stable motion
- Characterization of linear and harmonizable fractional stable motions
- Linear multifractional stable motion: representation via Haar basis
- On the Fourier coefficients of linear fractional stable motion
- Linear multifractional multistable motion: LePage series representation and modulus of continuity
- scientific article; zbMATH DE number 6860677
moduli of continuitywavelet series representationsHölder regularitylinear multifractional stable motions
Random fields (60G60) Fractional processes, including fractional Brownian motion (60G22) Sample path properties (60G17) Stable stochastic processes (60G52)
Cites Work
- Nonparametric estimation of the local Hurst function of multifractional Gaussian processes
- How rich is the class of multifractional Brownian motions?
- Ten Lectures on Wavelets
- Title not available (Why is that?)
- Elliptic Gaussian random processes
- Fine regularity of Lévy processes and linear (multi)fractional stable motion
- Title not available (Why is that?)
- Fractional elliptic, hyperbolic and parabolic random fields
- Title not available (Why is that?)
- Real harmonizable multifractional stable process and its local properties
- THE LOCAL STRUCTURE OF RANDOM PROCESSES
- Multiparameter multifractional Brownian motion: local nondeterminism and joint continuity of the local times
- Approximation of a Random Process with Variable Smoothness
- Multifractional, multistable, and other processes with Prescribed local form
- Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity
- Hölder continuity of sample paths of some self-similar stable processes
- Local times of multifractional Brownian sheets
- Sample path properties of ergodic self-similar processes
- Linear fractional stable sheets: Wavelet expansion and sample path properties
- Wavelet construction of generalized multifractional processes
- Multifractional processes with random exponent
- MULTIFRACTIONAL PROPERTIES OF STOCK INDICES DECOMPOSED BY FILTERING THEIR POINTWISE HÖLDER REGULARITY
- Tangent fields and the local structure of random fields
- Nonhomogeneous fractional integration and multifractional processes
- Real harmonizable multifractional Lévy motions
- Linear multifractional stable motion: fine path properties
- Stochastic properties of the linear multifractional stable motion
- Some sample path properties of multifractional Brownian motion
- A self-similar process with nowhere bounded sample paths
- PATH PROPERTIES OF THE LINEAR MULTIFRACTIONAL STABLE MOTION
- Localizable Moving Average Symmetric Stable and Multistable Processes
- PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE
- Title not available (Why is that?)
Cited In (2)
This page was built for publication: Behaviour of linear multifractional stable motion: membership of a critical Hölder space
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4584666)
