Multifractional processes with random exponent

被引：61
作者：
Ayache, A
Taqqu, MS
机构：
[1] Univ Lille 1, CNRS, UMR 8524, F-59655 Villeneuve Dascq, France
[2] CLAREE, CNRS, UMR 8020, F-59034 Lille, France
[3] Boston Univ, Dept Math & Stat, Boston, MA 02215 USA
来源：
PUBLICACIONS MATEMATIQUES | 2005年 / 49卷 / 02期
关键词：
Holder regularity; fractional Brownian motion; self-similarity; sample path properties;
D O I：
10.5565/PUBLMAT_49205_11
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
Multifractional Processes with Random Exponent (MPRE) are obtained by replacing the Hurst parameter of Fractional Brownian Motion (FBM) with a stochastic process. This process need not be independent of the white noise generating the FBM. MPREs can be conveniently represented as random wavelet series. We will use this type of representation to study their Holder regularity and their self-similarity.
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页码：459 / 486
页数：28
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