Some properties of a multifractional Brownian motion

Zhengyan Lin and Jing Zheng

Statistics & Probability Letters, 2007, vol. 77, issue 7, 687-692

Abstract: In the paper, we study the existence of the local nondeterminism and the joint continuity of the local time of a multifractional Brownian motion, and we get upper and lower bounds of Hausdroff dimensions of level sets of a multifractional Brownian motion.

Keywords: Hausdorff; dimension; Local; nondeterminism; Lever; set; Local; time; Multifractional; Brownian; motion (search for similar items in EconPapers)
Date: 2007
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