Regularity and identification of Generalized Multifractional Gaussian Processes
Ayache, Antoine ; Benassi, Albert ; Cohen, Serge ; Lévy Véhel, Jacques
HAL, inria-00576446 / Harvested from HAL
Text on HAL
In this article a class of multifractal processes is introduced, called Generalized Multifractional Gaussian Process (GMGP). For such multifractional models, the Hurst exponent on the celebrated Fractional Brownian Motion is replaced by a function, called the multifractional function, which may be irregular. The main aim of thi paper is to show how to identify irregular multifractional functions in the setting of GMGP. Examples of discontinuous multiractional functions are also given.
Publié le : 2004-07-05
Classification:  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] 
@article{inria-00576446,
     author = {Ayache, Antoine and Benassi, Albert and Cohen, Serge and L\'evy V\'ehel, Jacques},
     title = {Regularity and identification of Generalized Multifractional Gaussian Processes},
     journal = {HAL},
     volume = {2004},
     number = {0},
     year = {2004},
     language = {en},
     url = {http://dml.mathdoc.fr/item/inria-00576446}
}

Ayache, Antoine; Benassi, Albert; Cohen, Serge; Lévy Véhel, Jacques. Regularity and identification of Generalized Multifractional Gaussian Processes. HAL, Tome 2004 (2004) no. 0, . http://gdmltest.u-ga.fr/item/inria-00576446/