Besov-Orlicz path regularity of non-Gaussian processes

DOI10.1007/S11118-022-10051-8arXiv2111.12383OpenAlexW3214888714MaRDI QIDQ6147965FDOQ6147965

Authors: Petr Čoupek, Martin Ondreját 

Publication date: 1 February 2024

Published in: Potential Analysis (Search for Journal in Brave)

Abstract: In the article, Besov-Orlicz regularity of sample paths of stochastic processes that are represented by multiple integrals of order $ninmathbbN$ is treated. We give sufficient conditions for the considered processes to have paths in the exponential Besov-Orlicz space ${\displaystyle }$B_{varPhi_{2/n},infty}^alpha(0,T)qquad mbox{with}qquad varPhi_{2/n}(x)=mathrm{e}^{x^{2/n}}-1.${\displaystyle }$ These results provide an extension of what is known for scalar Gaussian stochastic processes to stochastic processes in an arbitrary finite Wiener chaos. As an application, the Besov-Orlicz path regularity of fractionally filtered Hermite processes is studied. But while the main focus is on the non-Gaussian case, some new path properties are obtained even for fractional Brownian motions.

Full work available at URL: https://arxiv.org/abs/2111.12383

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zbMATH Keywords

Hermite processpath regularityBesov-Orlicz spacemultiple Wiener-Itô integral

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Sample path properties (60G17) Self-similar stochastic processes (60G18)

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Cited In (1)

• Parameter estimation and singularity of laws on the path space for SDEs driven by Rosenblatt processes

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