Incremental moments and Hölder exponents of multifractional multistable processes - Inria - Institut national de recherche en sciences et technologies du numérique
Article Dans Une Revue ESAIM: Probability and Statistics Année : 2013

Incremental moments and Hölder exponents of multifractional multistable processes

Résumé

Multistable processes, that is, processes which are, at each ''time'', tangent to a stable process, but where the index of stability varies along the path, have been recently introduced as models for phenomena where the intensity of jumps is non constant. In this work, we give further results on (multifractional) multistable processes related to their local structure. We show that, under certain conditions, the incremental moments display a scaling behaviour, and that the pointwise exponent is, as expected, lower than the localisability index.
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Dates et versions

inria-00538989 , version 1 (23-11-2010)

Identifiants

Citer

Ronan Le Guével, Jacques Lévy Véhel. Incremental moments and Hölder exponents of multifractional multistable processes. ESAIM: Probability and Statistics, 2013, 17, pp.135-178. ⟨10.1051/ps/2011151⟩. ⟨inria-00538989⟩
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