Path properties of locally asymptotically self similar processes

Brahim Boufoussi (1) , Marco Dozzi (2) , Raby Guerbaz (1)

1 Faculté des Sciences Semlalia [Marrakech]
2 IECN - Institut Élie Cartan de Nancy

Various paths properties of a stochastic process are obtained under mild conditions which allow for the integrability of the characteristic function of its increments and for the dependence among them. The main assumption is closely related to the notion of local asymptotic self-similarity. New results are obtained for the class of multifractional random processes.

Domaines: Probabilités [math.PR]

Brahim Boufoussi, Marco Dozzi, Raby Guerbaz. Path properties of locally asymptotically self similar processes. Electronic Journal of Probability, 2008, 13, pp.898-921. ⟨hal-00150564⟩