Incremental moments and hölder exponents of multifractional multistable processes

10Citations
Citations of this article
5Readers
Mendeley users who have this article in their library.

Abstract

Multistable processes, that is, processes which are, at each “time”, tangent to a stable process, but where the index of stability varies along the path, have been recently introduced as models for phenomena where the intensity of jumps is non constant. In this work, we give further results on (multifractional) multistable processes related to their local structure. We show that, under certain conditions, the incremental moments display a scaling behaviour, and that the pointwise Hölder exponent is, as expected, related to the local stability index.We compute the precise value of the almost sure Hölder exponent in the case of the multistable Lévy motion, which turns out to reveal an interesting phenomenon. © EDP Sciences, SMAI 2013.

Cite

CITATION STYLE

APA

Guével, R. L., & Véhel, J. L. (2013). Incremental moments and hölder exponents of multifractional multistable processes. ESAIM - Probability and Statistics, 17, 135–178. https://doi.org/10.1051/ps/2011151

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free