Incremental moments and Hölder exponents of multifractional multistable processes

DOI10.1051/PS/2011151zbMATH Open1292.60050arXiv1001.3130OpenAlexW2115386457MaRDI QIDQ5408465FDOQ5408465

Authors: Ronan Le Guével, Jacques Lévy-Véhel 

Publication date: 10 April 2014

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

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.

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

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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)

Cited In (12)

• An estimation of the stability and the localisability functions of multistable processes
• Hausdorff, large deviation and Legendre multifractal spectra of Lévy multistable processes
• Multi-fractional generalized Cauchy process and its application to teletraffic
• The Hausdorff dimension of the range of the Lévy multistable processes
• Tempered fractional multistable motion and tempered multifractional stable motion
• Self-stabilizing processes
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• Goodness-of-fit test for multistable Lévy processes
• Self-stabilizing processes based on random signs
• On two multistable extensions of stable Lévy motion and their semi-martingale representations
• Multistable processes and localizability
• A Ferguson-Klass-LePage series representation of multistable multifractional motions and related processes

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