Necessary and sufficient conditions for Hölder continuity of Gaussian processes

DOI10.1016/J.SPL.2014.07.030zbMATH Open1307.60035arXiv1403.2215OpenAlexW2021285140MaRDI QIDQ467033FDOQ467033

Authors: Ehsan Azmoodeh, Tommi Sottinen, Lauri Viitasaari, Adil Yazigi 

Publication date: 3 November 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: The continuity of Gaussian processes is extensively studied topic and it culminates in the Talagrand's notion of majorizing measures that gives complicated necessary and sufficient conditions. In this note we study the H"older continuity of Gaussian processes. It turns out that necessary and sufficient conditions can be stated in a simple form that is a variant of the celebrated Kolmogorov-v{C}entsov condition.

Full work available at URL: https://arxiv.org/abs/1403.2215

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zbMATH Keywords

Gaussian processesself-similar processesHölder continuityKolmogorov-Čentsov condition

Mathematics Subject Classification ID

Gaussian processes (60G15) Sample path properties (60G17) Self-similar stochastic processes (60G18)

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Cited In (24)

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• Gaussian Volterra processes with power-type kernels. I
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• Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets
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• Forecast dominance testing via sign randomization
• Oscillating Gaussian processes
• Pathwise asymptotics for Volterra processes conditioned to a noisy version of the Brownian motion
• Path properties of a generalized fractional Brownian motion
• Necessary and sufficient conditions for continuity of hypercontractive processes and fields
• Sandwiched SDEs with unbounded drift driven by Hölder noises
• An \(\alpha\)-order fractional Brownian motion with Hurst index \(H \in (0,1)\) and \(\alpha \in \mathbb{R}_+\)
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• Large deviations for conditional Volterra processes
• Extremes of Gaussian random fields with regularly varying dependence structure
• Stochastic analysis of Gaussian processes via Fredholm representation
• Prediction law of fractional Brownian motion
• On nested infinite occupancy scheme in random environment
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• On the Lamperti transform of the fractional Brownian sheet
• Derivative of the expected supremum of fractional Brownian motion at \(H=1\)
• Long-range dependent completely correlated mixed fractional Brownian motion
• Pathwise Stieltjes integrals of discontinuously evaluated stochastic processes

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