The multifractal nature of Volterra-Levy processes

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.