Real harmonizable multifractional stable process and its local properties
A real harmonizable fractional stable process with Hurst parameter \(H\in (0,1)\) is defined by \[ Z^H(t)= \int_{-\infty}^{\infty} \frac{e^{{i} t x}-1}{|x|^{1/\alpha\, +H}}\; M(\d x)\,,\quad t\in\mathbb R\,. \] Here, \(M\) denotes an independently scattered rotational invariant complex \(S\alpha S\)-measure on \(\mathbb R\). Let \(H :\mathbb R\to (0,1)\) be a function with \[ 0<\hat H:=\inf_{s\in\mathbb R} H(s)\leq H(t)\leq \sup_{s\in \mathbb R} H(s)<1\,. \] Define now a process \(X\) by \(X(t):=Z^{H(t)}(t)\), \(t\in\mathbb R\). Then \(X\) is called real harmonizable multi-fractional stable process. The aim of this paper is to prove properties of processes of such type. For example, it is shown that \(X\) has a version with a.s.~Hölder continuous paths where the order depends on \(\hat H\). Furthermore, the authors prove that \(X\) possesses the property of local non-determinism on any interval \([\varepsilon, T]\).
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