On the pointwise regularity of the Multifractional Brownian Motion and  some extensions

[en] We study the pointwise regularity of the Multifractional Brownian Motion and in particular, we get the existence of slow points. It shows that a non self-similar process can still enjoy this property. We also consider various extensions of our results in the aim of requesting a weaker regularity assumption for the Hurst function without altering the regularity of the process.

Disciplines :

Mathematics

Author, co-author :

Esser, Céline ; Université de Liège - ULiège > Mathematics

Loosveldt, Laurent ; Université de Liège - ULiège > Département de mathématique > Probabilités - Analyse stochastique

Language :

English

Title :

On the pointwise regularity of the Multifractional Brownian Motion and some extensions

Publication date :

May 2024

Journal title :

Theory of Probability and Mathematical Statistics

ISSN :

0094-9000

eISSN :

1547-7363

Publisher :

American Mathematical Society, Providence, United States - Rhode Island

Volume :

110

Pages :

55-73

Peer reviewed :

Peer Reviewed verified by ORBi

Available on ORBi :

since 15 February 2023

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Bibliography

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