Electronic Journal of Probability

Path properties of a class of locally asymptotically self similar processes

Brahim Boufoussi, Marco Dozzi, and Raby Guerbaz

Full-text: Open access

Abstract

Various paths properties of a stochastic process are obtained under mild conditions which allow for the integrability of the characteristic function of its increments and for the dependence among them. The main assumption is closely related to the notion of local asymptotic self-similarity. New results are obtained for the class of multifractional random processes.

Article information

Source
Electron. J. Probab., Volume 13 (2008), paper no. 29, 898-921.

Dates
Accepted: 9 May 2008
First available in Project Euclid: 1 June 2016

Permanent link to this document
https://projecteuclid.org/euclid.ejp/1464819102

Digital Object Identifier
doi:10.1214/EJP.v13-505

Mathematical Reviews number (MathSciNet)
MR2413288

Zentralblatt MATH identifier
1191.60046

Subjects
Primary: 60H10: Stochastic ordinary differential equations [See also 34F05]
Secondary: 60H30: Applications of stochastic analysis (to PDE, etc.) 35K55: Nonlinear parabolic equations

Keywords
Hausdorff dimension level sets local asymptotic self-similarity local non-determinism local times

Rights
This work is licensed under aCreative Commons Attribution 3.0 License.

Citation

Boufoussi, Brahim; Dozzi, Marco; Guerbaz, Raby. Path properties of a class of locally asymptotically self similar processes. Electron. J. Probab. 13 (2008), paper no. 29, 898--921. doi:10.1214/EJP.v13-505. https://projecteuclid.org/euclid.ejp/1464819102


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