Necessary and sufficient conditions for Hölder continuity of Gaussian processes
From MaRDI portal
(Redirected from Publication:467033)
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.
Recommendations
Cites work
- scientific article; zbMATH DE number 3612217 (Why is no real title available?)
- scientific article; zbMATH DE number 3211221 (Why is no real title available?)
- scientific article; zbMATH DE number 3398554 (Why is no real title available?)
- Continuity of Gaussian Processes
- Markov Processes, Gaussian Processes, and Local Times
- On the law of the iterated logarithm for Gaussian processes
- Regularity of Gaussian processes
- Representation of self-similar Gaussian processes
- Sample functions of the Gaussian process
- Stochastic calculus with respect to Gaussian processes
- The sizes of compact subsets of Hilbert space and continuity of Gaussian processes
Cited in
(24)- Option pricing in sandwiched Volterra volatility model
- Pathwise Stieltjes integrals of discontinuously evaluated stochastic processes
- Large deviations for conditional Volterra processes
- Sandwiched SDEs with unbounded drift driven by Hölder noises
- Forecast dominance testing via sign randomization
- Multi-mixed fractional Brownian motions and Ornstein-Uhlenbeck processes
- Prediction law of fractional Brownian motion
- On nested infinite occupancy scheme in random environment
- Optimal control in linear-quadratic stochastic advertising models with memory
- Gaussian Volterra processes with power-type kernels. I
- An \(\alpha\)-order fractional Brownian motion with Hurst index \(H \in (0,1)\) and \(\alpha \in \mathbb{R}_+\)
- Drift-implicit Euler scheme for sandwiched processes driven by Hölder noises
- Stochastic analysis of Gaussian processes via Fredholm representation
- Oscillating Gaussian processes
- Necessary and sufficient conditions for continuity of hypercontractive processes and fields
- Derivative of the expected supremum of fractional Brownian motion at \(H=1\)
- Path properties of a generalized fractional Brownian motion
- Extremes of Gaussian random fields with regularly varying dependence structure
- Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets
- Gaussian Volterra processes with power-type kernels. II
- On the Lamperti transform of the fractional Brownian sheet
- scientific article; zbMATH DE number 1149771 (Why is no real title available?)
- Pathwise asymptotics for Volterra processes conditioned to a noisy version of the Brownian motion
- Long-range dependent completely correlated mixed fractional Brownian motion
This page was built for publication: Necessary and sufficient conditions for Hölder continuity of Gaussian processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q467033)