Electronic Journal of Probability

Fine regularity of Lévy processes and linear (multi)fractional stable motion

Paul Balança

Full-text: Open access

Abstract

In this work, we investigate the fine regularity of Lévy processes using the 2-microlocal formalism. This framework allows us to refine the multifractal spectrum determined by Jaffard and, in addition, study the oscillating singularities of Lévy processes. The fractal structure of the latter is proved to be more complex than the classic multifractal spectrum and is determined in the case of alpha-stable processes. As a consequence of these fine results and the properties of the 2-microlocal frontier, we are also able to completely characterise the multifractal nature of the linear fractional stable motion (extension of fractional Brownian motion to α-stable measures) in the case of continuous and unbounded sample paths as well. The regularity of its multifractional extension is also presented, indirectly providing an example of a stochastic process with a non-homogeneous and random multifractal spectrum.

Article information

Source
Electron. J. Probab., Volume 19 (2014), paper no. 101, 37 pp.

Dates
Accepted: 26 October 2014
First available in Project Euclid: 4 June 2016

Permanent link to this document
https://projecteuclid.org/euclid.ejp/1465065743

Digital Object Identifier
doi:10.1214/EJP.v19-3393

Mathematical Reviews number (MathSciNet)
MR3275853

Zentralblatt MATH identifier
1307.60055

Subjects
Primary: 60G07: General theory of processes
Secondary: 60G17: Sample path properties 60G22: Fractional processes, including fractional Brownian motion 60G44: Martingales with continuous parameter

Keywords
2-microlocal analysis Hölder regularity multifractal spectrum oscillating singularities Lévy processes linear fractional stable motion

Rights
This work is licensed under a Creative Commons Attribution 3.0 License.

Citation

Balança, Paul. Fine regularity of Lévy processes and linear (multi)fractional stable motion. Electron. J. Probab. 19 (2014), paper no. 101, 37 pp. doi:10.1214/EJP.v19-3393. https://projecteuclid.org/euclid.ejp/1465065743


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