Lower bound for local oscillations of Hermite processes

Antoine Ayache

Stochastic Processes and their Applications, 2020, vol. 130, issue 8, 4593-4607

Abstract: The most known example of a class of non-Gaussian stochastic processes which belongs to the homogeneous Wiener chaos of an arbitrary order N>1 is probably Hermite processes of rank N. They generalize fractional Brownian motion (fBm) and Rosenblatt process in a natural way. They were introduced several decades ago. Yet, in contrast with fBm and many other Gaussian and stable stochastic processes and fields related to it, few results on path behavior of Hermite processes are available in the literature. For instance the natural issue of whether or not their paths are nowhere differentiable functions has not yet been solved even in the most simple case of the Rosenblatt process. The goal of our article is to derive a quasi-optimal lower bound for the asymptotic behavior of local oscillations of paths of Hermite processes of any rank N, which, among other things, shows that these paths are nowhere differentiable functions.

Keywords: Wiener chaos; Self-similar process; Rosenblatt process; Path behavior; Nowhere differentiability (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spa.2020.01.009

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