Sample path properties of Volterra processes

MaRDI QIDQ2787529zbMATH OpenFDO

Authors Leonid Mytnik, Eyal Neuman

Publication date 4 March 2016

Published in Communications on Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1101.4969

Mathematics Subject Classification ID

Sample path properties (60G17) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

Abstract: We consider the regularity of sample paths of Volterra 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 semimartingale and $F$ is a deterministic real-valued function. We derive the information on the modulus of continuity for these processes under regularity assumptions on the function $F$ and show that $M(t)$ has "worst" regularity properties at times of jumps of $X(t)$. We apply our results to obtain the optimal H"older exponent for fractional L'{e}vy processes.

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Cited in

(13)

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• Regularity of local times associated with Volterra-Lévy processes and path-wise regularization of stochastic differential equations
• Ambit processes, their volatility determination and their applications
• Large deviation principle for Volterra type fractional stochastic volatility models
• Regularity properties of some stochastic Volterra integrals with singular kernel
• Volterra square-root process: stationarity and regularity of the law
• The multifractal nature of Volterra-Lévy processes

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