Some sample path properties of multifractional Brownian motion

DOI10.1016/j.spa.2015.05.008zbMath1321.60077arXiv1408.0317OpenAlexW647808824MaRDI QIDQ492954

Paul Balança

Publication date: 21 August 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1408.0317

zbMATH Keywords

Hausdorff dimensionbox dimensionHölder regularitymultifractional Brownian motion2-microlocal analysissample path properties

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Sample path properties (60G17)

Related Items (5)

Images of fractional Brownian motion with deterministic drift: Positive Lebesgue measure and non-empty interior ⋮ Multifractality of jump diffusion processes ⋮ On local path behavior of Surgailis multifractional processes ⋮ Behaviour of linear multifractional stable motion: membership of a critical Hölder space ⋮ On the monofractality of many stationary continuous Gaussian fields

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