Hölder Exponent for a Two-Parameter Lévy Process

Sandrine Lagaize

Journal of Multivariate Analysis, 2001, vol. 77, issue 2, 270-285

Abstract: We study the regularity of a two-parameter Lévy process in the neighbourhood of a fixed point and then we compute the Hölder exponent of such a process.

Keywords: Lévy; process; two-parameter; process; Holder; exponent (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (2)

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