The multifractal nature of Volterra-Lévy processes

DOI10.1016/J.SPA.2014.04.011zbMATH Open1329.60169arXiv1306.3595OpenAlexW1973091879MaRDI QIDQ740198FDOQ740198

Authors: Eyal Neuman 

Publication date: 2 September 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We consider the regularity of sample paths of Volterra-L'{e}vy processes. These processes are defined as stochastic integrals ${\displaystyle }$ M(t)=int_{0}^{t}F(t,r)dX(r), t in mathds{R}_{+}, ${\displaystyle }$ where $X$ is a L'{e}vy process and $F$ is a deterministic real-valued function. We derive the spectrum of singularities and a result on the 2-microlocal frontier of ${M(t)}_{tin[0,1]}$, under regularity assumptions on the function $F$.

Full work available at URL: https://arxiv.org/abs/1306.3595

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zbMATH Keywords

regularitysample pathsstochastic integralsmultifractalsspectrum of singularitiesVolterra-Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sample path properties (60G17) Stochastic integrals (60H05)

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Cited In (6)

• A generalised Itō formula for Lévy-driven Volterra processes
• TOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC VOLATILITY?
• Multifractal analysis of Lévy fields
• The singularity spectrum of Lévy processes in multifractal time
• Multifractality of jump diffusion processes
• Regularity of local times associated with Volterra-Lévy processes and path-wise regularization of stochastic differential equations

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