Skip to Main content Skip to Navigation
Journal articles

Incremental moments and Hölder exponents of multifractional multistable processes

Abstract : Multistable processes, that is, processes which are, at each ''time'', tangent to a stable process, but where the index of stability varies along the path, have been recently introduced as models for phenomena where the intensity of jumps is non constant. In this work, we give further results on (multifractional) multistable processes related to their local structure. We show that, under certain conditions, the incremental moments display a scaling behaviour, and that the pointwise exponent is, as expected, lower than the localisability index.
Document type :
Journal articles
Complete list of metadata

Cited literature [24 references]  Display  Hide  Download

https://hal.inria.fr/inria-00538989
Contributor : Lisandro Fermin <>
Submitted on : Tuesday, November 23, 2010 - 4:31:11 PM
Last modification on : Wednesday, April 8, 2020 - 4:04:21 PM
Long-term archiving on: : Thursday, February 24, 2011 - 3:19:50 AM

File

Holdermulti.pdf
Files produced by the author(s)

Identifiers

Collections

Citation

Ronan Le Guével, Jacques Lévy Véhel. Incremental moments and Hölder exponents of multifractional multistable processes. ESAIM: Probability and Statistics, EDP Sciences, 2013, 17, pp.135-178. ⟨10.1051/ps/2011151⟩. ⟨inria-00538989⟩

Share

Metrics

Record views

460

Files downloads

424