Incremental moments and Hölder exponents of multifractional multistable processes

DOI10.1051/PS/2011151MaRDI QIDQ5408465zbMATH OpenOpenAlexFDO

Authors Ronan Le Guével, Jacques Lévy-Véhel

Publication date 10 April 2014

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1001.3130

zbMATH Keywords

multifractional processesmultistable processeslocalisable processespointwise Hölder regularity

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Sample path properties (60G17) Stable stochastic processes (60G52) Self-similar stochastic processes (60G18)

Abstract: Multistable processes, that is, processes which are, at each "time", tangent to a stable process, but where the index of stability varies along the path, have been recently introduced as models for phenomena where the intensity of jumps is non constant. In this work, we give further results on (multifractional) multistable processes related to their local structure. We show that, under certain conditions, the incremental moments display a scaling behaviour, and that the pointwise exponent is, as expected, lower than the localisability index.

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