Multifractional Hermite processes: Definition and first properties

L. Loosveldt

Stochastic Processes and their Applications, 2023, vol. 165, issue C, 465-500

Abstract: We define multifractional Hermite processes which generalize and extend both multifractional Brownian motion and Hermite processes. It is done by substituting the Hurst parameter in the definition of Hermite processes as a multiple Wiener–Itô integral by a Hurst function. Then, we study the pointwise regularity of these processes, their local asymptotic self-similarity and some fractal dimensions of their graph. Our results show that the fundamental properties of multifractional Hermite processes are, as desired, governed by the Hurst function. Complements are given in the second order Wiener chaos, using facts from Malliavin calculus.

Keywords: Hermite processes; Multifractional processes; Modulus of continuity; Local asymptotic self-similarity; Fractal dimensions; Malliavin calculus (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:165:y:2023:i:c:p:465-500

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DOI: 10.1016/j.spa.2023.09.003

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