The multifractal nature of Volterra-Levy processes

被引：1

作者：

Neuman, Eyal ^{[1
]}

机构：

[1] Technion Israel Inst Technol, Fac Ind Engn & Management, IL-32000 Haifa, Israel

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2014年 / 124卷 / 09期

关键词：

Multifractals; Spectrum of singularities; Volterra processes; Levy processes; FRACTIONAL STABLE SHEETS; SAMPLE PATH PROPERTIES; SELF-SIMILAR PROCESSES; 2-MICROLOCAL ANALYSIS; ITERATED LOGARITHM; LOCAL REGULARITY; TIME;

D O I：

10.1016/j.spa.2014.04.011

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider the regularity of sample paths of Volterra-Levy processes. These processes are defined as stochastic integrals M(t) = integral(t)(0) F(t, r)dX(r), t is an element of R+, where X is a Levy process and F is a deterministic real-valued function. We derive the spectrum of singularities and a result on the 2-microlocal frontier of {M(t)}(t is an element of[0,1]), under regularity assumptions on the function F. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：3121 / 3145

页数：25

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