Regularity of multifractional moving average processes with random Hurst exponent

DOI10.1016/J.SPA.2021.05.008MaRDI QIDQ1979895zbMATH OpenOpenAlexFDO

Authors Dennis Loboda, Fabian Mies, Ansgar Steland

Publication date 3 September 2021

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

Full work available at URL https://arxiv.org/abs/2004.07539

zbMATH Keywords

random fieldlocal self-similaritymultifractional Brownian motionMatérn processrandom Hölder exponent

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Sample path properties (60G17) Self-similar stochastic processes (60G18)

Abstract: A recently proposed alternative to multifractional Brownian motion (mBm) with random Hurst exponent is studied, which we refer to as It^o-mBm. It is shown that It^o-mBm is locally self-similar. In contrast to mBm, its pathwise regularity is almost unaffected by the roughness of the functional Hurst parameter. The pathwise properties are established via a new polynomial moment condition similar to the Kolmogorov-Chentsov theorem, allowing for random local H"older exponents. Our results are applicable to a broad class of moving average processes where pathwise regularity and long memory properties may be decoupled, e.g. to a multifractional generalization of the Mat'ern process.

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Cited in

(7)

• Distinguishing between fractional Brownian motion with random and constant Hurst exponent using sample autocovariance-based statistics
• Moving average multifractional processes with random exponent: lower bounds for local oscillations
• Régularisation spectrale et propriétés métriques des moyennes mobiles (Spectral regularization and metric properties of moving averages)
• A new multifractional process with random exponent
• Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity
• Uniformly and strongly consistent estimation for the random Hurst function of a multifractional process
• Fractional Brownian motion with random Hurst exponent: accelerating diffusion and persistence transitions

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