We characterize the local smoothness and the asymptotic growth rate of the Lévy white noise. We do so by characterizing the weighted Besov spaces in which it is located. We extend known results in two ways. First, we obtain new bounds for the local smoothness via the Blumenthal-Getoor indices of the Lévy white noise. We also deduce the critical local smoothness when the two indices coincide, which is true for symmetric-$\alpha $-stable, compound Poisson, and symmetric-gamma white noises to name a few. Second, we express the critical asymptotic growth rate in terms of the moment properties of the Lévy white noise. Previous analyses only provided lower bounds for both the local smoothness and the asymptotic growth rate. Showing the sharpness of these bounds requires us to determine in which Besov spaces a given Lévy white noise is (almost surely) not. Our methods are based on the wavelet-domain characterization of Besov spaces and precise moment estimates for the wavelet coefficients of the Lévy white noise.
"Wavelet analysis of the Besov regularity of Lévy white noise." Electron. J. Probab. 25 1 - 38, 2020. https://doi.org/10.1214/20-EJP554