Path properties of a class of locally asymptotically self similar processes

Brahim Boufoussi (Cadi Ayyad University)
Marco E. Dozzi (Nancy University)
Raby Guerbaz (Cadi Ayyad University)

Abstract


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.

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Pages: 898-921

Publication Date: May 9, 2008

DOI: 10.1214/EJP.v13-505

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