A fractional Brownian field indexed by $L^2$ and a varying Hurst parameter
Résumé
Using structures of Abstract Wiener Spaces and their reproducing kernel Hilbert spaces, we define a fractional Brownian field indexed by a product space $(0,1/2] \times L^2(T,m)$, $(T,m)$ a separable measure space, where the first coordinate corresponds to the Hurst parameter of fractional Brownian motion. This field encompasses a large class of existing fractional Brownian processes, such as Lévy fractional Brownian motion and multiparameter fractional Brownian motion, and provides a setup for new ones. We prove that it has satisfactory incremental variance in both coordinates and derive certain continuity and Hölder regularity properties in relation with metric entropy. Also, a sharp estimate of the small ball probabilities is provided, generalizing a result on Lévy fractional Brownian motion. Then, we apply these general results to multiparameter and set-indexed processes, proving the existence of processes with prescribed local Hölder regularity on general indexing collections.
Origine | Fichiers produits par l'(les) auteur(s) |
---|
Loading...