On local path behavior of surgailis multifractional processes

DOI10.1090/TPMS/1162MaRDI QIDQ5080402zbMATH OpenOpenAlexFDO

Authors Antoine Ayache, Florent Bouly

Publication date 31 May 2022

Published in Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/tpms/1162

zbMATH Keywords

Gaussian processeslocal and pointwise Hölder regularitylocal self-similarityvariable Hurst parameter

Mathematics Subject Classification ID

Sample path properties (60G17) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

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Cites work

• Continuous Gaussian multifractional processes with random pointwise Hölder regularity
• Elliptic Gaussian random processes
• From \(N\) parameter fractional Brownian motions to \(N\) parameter multifractional Brownian motions
• Gaussian Sample Functions: Uniform Dimension and Hölder Conditions Nowhere
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• scientific article; zbMATH DE number 3594385 (Why is no real title available?)
• scientific article; zbMATH DE number 3416765 (Why is no real title available?)
• Hölder conditions for the local times and the Hausdorff measure of the level sets of Gaussian random fields
• Multifractional stochastic fields. Wavelet strategies in multifractional frameworks
• Multiparameter Processes
• Nonhomogeneous fractional integration and multifractional processes
• Nonparametric estimation of the local Hurst function of multifractional Gaussian processes
• On the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motion
• Some sample path properties of multifractional Brownian motion
• Wavelet construction of generalized multifractional processes

Cited in

(2)

• How rich is the class of multifractional Brownian motions?
• Multifractional Hermite processes: definition and first properties

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