Path properties of the linear multifractional stable motion

DOI10.1142/S0218348X05002775zbMATH Open1304.28010MaRDI QIDQ5497011FDOQ5497011

Publication date: 30 January 2015

Published in: Fractals (Search for Journal in Brave)

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heavy tails self-similarity local self-similarity multifractional Brownian motion linear fractional stable motion path continuity Hölder regularity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Fractals (28A80)

Cites Work

How rich is the class of multifractional Brownian motions?
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Multifractional processes with random exponent
AN INTRODUCTION TO THE THEORY OF SELF-SIMILAR STOCHASTIC PROCESSES

Cited In (23)

Linear multifractional stable sheets in the broad sense: existence and joint continuity of local times
Linear multifractional stable motion: representation via Haar basis
Linear multifractional stable motion: fine path properties
On wavelet analysis of the \(n\)th order fractional Brownian motion
Local times of linear multifractional stable sheets
Tempered fractional multistable motion and tempered multifractional stable motion
On moduli of continuity for local times of fractional stable processes
How rich is the class of multifractional Brownian motions?
Multi-operator scaling random fields
Wavelet analysis of a multifractional process in an arbitrary Wiener chaos
Sample path properties of fractional Riesz–Bessel field of variable order
Goodness-of-fit test for multistable Lévy processes
Incremental moments and Hölder exponents of multifractional multistable processes
Stochastic volatility and multifractional Brownian motion
Stochastic properties of the linear multifractional stable motion
Local time and Tanaka formula for a Volterra-type multifractional Gaussian process
Stochastic 2-microlocal analysis
Multifractional, multistable, and other processes with Prescribed local form
Behaviour of linear multifractional stable motion: membership of a critical Hölder space
Derivatives of sup-functionals of fractional Brownian motion evaluated at \(H=\frac{1}{2}\)
Statistical estimation for a class of self-regulating processes
A general framework for simulation of fractional fields
Linear multifractional multistable motion: LePage series representation and modulus of continuity

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