Multidimensional Lévy white noise in weighted Besov spaces

Julien Fageot, Alireza Fallah and Michael Unser

Stochastic Processes and their Applications, 2017, vol. 127, issue 5, 1599-1621

Abstract: In this paper, we study the Besov regularity of a general d-dimensional Lévy white noise. More precisely, we describe new sample paths properties of a given noise in terms of weighted Besov spaces. In particular, we characterize the smoothness and integrability properties of the noise using the indices introduced by Blumenthal, Getoor, and Pruitt. Our techniques rely on wavelet methods and generalized moments estimates for Lévy noises.

Keywords: Lévy white noises; Besov spaces; Wavelet bases; Generalized random processes (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:127:y:2017:i:5:p:1599-1621

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DOI: 10.1016/j.spa.2016.08.011

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