Real harmonizable multifractional stable process and its local properties

Marco Dozzi (1) , Georgiy Shevchenko (2)

1 IECN - Institut Élie Cartan de Nancy
2 Taras Shevchenko National University of Kyiv

A real harmonizable multifractional stable process is defined, its Hölder continuity and localizability are proved. The existence of local time is shown and its regularity is established.

Mots clés: multifractionality; harmonizable process; Stable process; local time; localizability; local non-determinism

Domaines: Probabilités [math.PR]

Marco Dozzi, Georgiy Shevchenko. Real harmonizable multifractional stable process and its local properties. Stochastic Processes and their Applications, 2011, 121 (7), pp.1509 - 1523. ⟨10.1016/j.spa.2011.03.012⟩. ⟨hal-01095642⟩