Self-regulating processes
Antoine Echelard (Inria and École Centrale Paris)
Jacques Lévy Véhel (Inria and École Centrale Paris)
Abstract
We construct functions and stochastic processes for which a functional relation holds between amplitude and local regularity, as measured by the pointwise or local Hölder exponent. We consider in particular functions and processes built by extending Weierstrass function, multifractional Brownian motion and the Lévy construction of Brownian motion. Such processes have recently proved to be relevant models in various applications. The aim of this work is to provide a theoretical background to these studies and to provide a first step in the development of a theory for such self-regulating processes.
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Pages: 1-30
Publication Date: December 16, 2012
DOI: 10.1214/EJP.v17-2010
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