The multifractal nature of Volterra–Lévy processes

Eyal Neuman

Stochastic Processes and their Applications, 2014, vol. 124, issue 9, 3121-3145

Abstract: We consider the regularity of sample paths of Volterra–Lévy processes. These processes are defined as stochastic integrals M(t)=∫0tF(t,r)dX(r),t∈R+, where X is a Lévy process and F is a deterministic real-valued function. We derive the spectrum of singularities and a result on the 2-microlocal frontier of {M(t)}t∈[0,1], under regularity assumptions on the function F.

Keywords: Multifractals; Spectrum of singularities; Volterra processes; Lévy processes (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.spa.2014.04.011

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