Multifractional processes with random exponent
Multifractional Processes with Random Exponent (MPRE) are obtained by replacing the Hurst parameter of Fractional Brownian Motion (FBM) with a stochastic process. This process need not be independent of the white noise generating the FBM. MPREs can be conveniently represented as random wavelet serie...
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| Veröffentlicht in: | Publicacions matemàtiques 2005, Vol.49 (2), p.459-486 |
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| container_title | Publicacions matemàtiques |
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| creator | Ayache, A. Taqqu, M. S. |
| description | Multifractional Processes with Random Exponent (MPRE) are obtained by replacing the Hurst parameter of Fractional Brownian Motion (FBM) with a stochastic process. This process need not be independent of the white noise generating the FBM. MPREs can be conveniently represented as random wavelet series. We will use this type of representation to study their Hölder regularity and their self-similarity. |
| doi_str_mv | 10.5565/PUBLMAT_49205_11 |
| format | Article |
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S.</creatorcontrib><collection>Revistes Catalanes amb Accés Obert (RACO)</collection><collection>Revistes Catalanes amb Accés Obert (RACO) (Full Text)</collection><collection>Revistes Catalanes amb Accés Obert (RACO)</collection><collection>CrossRef</collection><jtitle>Publicacions matemàtiques</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Ayache, A.</au><au>Taqqu, M. S.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Multifractional processes with random exponent</atitle><jtitle>Publicacions matemàtiques</jtitle><date>2005</date><risdate>2005</risdate><volume>49</volume><issue>2</issue><spage>459</spage><epage>486</epage><pages>459-486</pages><issn>0214-1493</issn><eissn>2014-4350</eissn><abstract>Multifractional Processes with Random Exponent (MPRE) are obtained by replacing the Hurst parameter of Fractional Brownian Motion (FBM) with a stochastic process. This process need not be independent of the white noise generating the FBM. MPREs can be conveniently represented as random wavelet series. We will use this type of representation to study their Hölder regularity and their self-similarity.</abstract><pub>Universitat Autònoma de Barcelona</pub><doi>10.5565/PUBLMAT_49205_11</doi><tpages>28</tpages><oa>free_for_read</oa></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0214-1493 |
| ispartof | Publicacions matemàtiques, 2005, Vol.49 (2), p.459-486 |
| issn | 0214-1493 2014-4350 |
| language | eng |
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| source | Jstor Complete Legacy; Alma/SFX Local Collection; Revistes Catalanes amb Accés Obert (RACO); JSTOR Mathematics & Statistics |
| subjects | Brownian motion Fourier transformations Integers Mathematical functions Mathematical integrals Random variables Series convergence Stochastic processes Trajectories White noise |
| title | Multifractional processes with random exponent |
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