Path properties of the linear multifractional stable motion

DOI10.1142/S0218348X05002775MaRDI QIDQ5497011zbMATH OpenFDO

Authors Murad S. Taqqu, Stilian Stoev

Publication date 30 January 2015

Published in Fractals (Search for Journal in Brave)

zbMATH Keywords

heavy tailsself-similaritylocal self-similaritymultifractional Brownian motionlinear fractional stable motionpath continuityHölder regularity

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 520220 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 1944303 (Why is no real title available?)
• scientific article; zbMATH DE number 3313523 (Why is no real title available?)
• AN INTRODUCTION TO THE THEORY OF SELF-SIMILAR STOCHASTIC PROCESSES
• How rich is the class of multifractional Brownian motions?
• Multifractional processes with random exponent

Cited in

(24)

• Linear multifractional multistable motion: LePage series representation and modulus of continuity
• 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 nth 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
• Some sample path properties of real multifractional Lévy 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
• Stochastic volatility and multifractional Brownian motion
• Incremental moments and Hölder exponents of multifractional multistable processes
• 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

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