Continuous Gaussian multifractional processes with random pointwise Hölder regularity

DOI10.1007/S10959-012-0418-3MaRDI QIDQ742104zbMATH OpenOpenAlexFDO

Authors Antoine Ayache

Publication date 18 September 2014

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1109.1617

zbMATH Keywords

Hölder regularitylevel setsmultifractional Brownian motionpointwise Hölder exponents

Mathematics Subject Classification ID

Gaussian processes (60G15) Sample path properties (60G17) Fractional processes, including fractional Brownian motion (60G22)

Abstract: Let X be an arbitrary centered Gaussian process whose trajectories are, with probability one, continuous nowhere differentiable functions. It follows from a classical result, derived from zero-one law, that, with probability one, the trajectories of X have the same global H"older regularity over any compact interval, that is the uniform H"older exponent does not depend on the choice of a trajectory. A similar phenomenon happens with their local H"older regularity measured through the local H"older exponent. Therefore, it seems natural to ask the following question: does such a phenomenon also occur with their pointwise H"older regularity measured through the pointwise H"older exponent? In this article, using the framework of multifractional processes, we construct a family of counterexamples showing that the answer to this question is not always positive.

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Cited in

(13)

• Regularity of multifractional moving average processes with random Hurst exponent
• On the monofractality of many stationary continuous Gaussian fields
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