Regularity of multifractional moving average processes with random Hurst exponent

DOI10.1016/j.spa.2021.05.008zbMath1475.60075arXiv2004.07539OpenAlexW3173030429MaRDI QIDQ1979895

Fabian Mies, Ansgar Steland, Dennis Loboda

Publication date: 3 September 2021

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.07539

zbMATH Keywords

random fieldmultifractional Brownian motionlocal self-similarityMatérn processrandom Hölder exponent

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Sample path properties (60G17) Self-similar stochastic processes (60G18)

Related Items (3)

Moving average multifractional processes with random exponent: lower bounds for local oscillations ⋮ Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity ⋮ Unnamed Item

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