Moving average Multifractional Processes with Random Exponent: Lower bounds for local oscillations

Antoine Ayache and Florent Bouly

Stochastic Processes and their Applications, 2022, vol. 146, issue C, 143-163

Abstract: In the last few years Ayache, Esser and Hamonier introduced a new Multifractional Process with Random Exponent (MPRE) obtained by replacing the Hurst parameter in a moving average representation of Fractional Brownian Motion through Wiener integral by an adapted Hölder continuous stochastic process indexed by the integration variable. Thus, this MPRE can be expressed as a moving average Itô integral which is a considerable advantage with respect to another MPRE introduced a long time ago by Ayache and Taqqu. Thanks to this advantage, very recently, Loboda, Mies and Steland have derived interesting results on local Hölder regularity, self-similarity and other properties of the recently introduced moving average MPRE and generalizations of it. Yet, the problem of obtaining, on a universal event of probability 1 not depending on the location, relevant lower bounds for local oscillations of such processes has remained open. We solve it in the present article under some conditions.

Keywords: Fractional Brownian Motion; Varying Hurst parameter; Pointwise Hölder regularity; Itô integral (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.spa.2022.01.003

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