Different possible behaviors of wavelet leaders of the Brownian motion

Antoine Ayache, Céline Esser and Thomas Kleyntssens

Statistics & Probability Letters, 2019, vol. 150, issue C, 54-60

Abstract: The aim of this paper is to prove that wavelet leaders allow to get very fine properties of the trajectories of the Brownian motion: we show that the three well-known behaviors of its oscillations, namely to be ordinary, rapid and slow, are also present in the behavior of the size of its wavelet leaders.

Keywords: Brownian motion; Slow/rapid/ordinary points; Wavelet leaders (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2019.02.003

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