Hölder regularity for operator scaling stable random fields

Hermine Biermé and Céline Lacaux

Stochastic Processes and their Applications, 2009, vol. 119, issue 7, 2222-2248

Abstract: We investigate the sample path regularity of operator scaling [alpha]-stable random fields. Such fields were introduced in [H. Biermé, M.M. Meerschaert, H.P. Scheffler, Operator scaling stable random fields, Stochastic Process. Appl. 117 (3) (2007) 312-332.] as anisotropic generalizations of self-similar fields and satisfy the scaling property where E is a dxd real matrix and H>0. In the case of harmonizable operator scaling random fields, the sample paths are locally Hölderian and their Hölder regularity is characterized by the eigen decomposition of with respect to E. In particular, the directional Hölder regularity may vary and is given by the eigenvalues of E. In the case of moving average operator scaling [alpha]-stable random fields, with [alpha][set membership, variant](0,2) and d>=2, the sample paths are almost surely discontinuous.

Keywords: Operator; scaling; random; fields; Stable; and; Gaussian; laws; Holder; regularity; Hausdorff; dimension (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (11)

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