Multifractional processes with random exponent.
Ayache, Antoine ; Taqqu, Murad S.
Publicacions Matemàtiques, Tome 49 (2005), p. 459-486 / Harvested from Biblioteca Digital de Matemáticas
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Multifractional Processes with Random Exponent (MPRE) are obtained by replacing the Hurst parameter of Fractional Brownian Motion (FBM) with a stochastic process. This process need not be independent of the white noise generating the FBM. MPREs can be conveniently represented as random wavelet series. We will use this type of representation to study their Hölder regularity and their self-similarity.

Publié le : 2005-01-01
DMLE-ID : 4076 
@article{urn:eudml:doc:41569,
     title = {Multifractional processes with random exponent.},
     journal = {Publicacions Matem\`atiques},
     volume = {49},
     year = {2005},
     pages = {459-486},
     zbl = {1082.60032},
     language = {en},
     url = {http://dml.mathdoc.fr/item/urn:eudml:doc:41569}
}

Ayache, Antoine; Taqqu, Murad S. Multifractional processes with random exponent.. Publicacions Matemàtiques, Tome 49 (2005) pp. 459-486. http://gdmltest.u-ga.fr/item/urn:eudml:doc:41569/