JournalsrmiVol. 23, No. 1pp. 327–370

Wavelet construction of Generalized Multifractional processes

  • Antoine Ayache

    Université Lille 1, Villeneuve d'Asq, France
  • Stéphane Jaffard

    Université Paris Est, Créteil, France
  • Murad S. Taqqu

    Boston University, USA
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Abstract

We construct Generalized Multifractional Processes with Random Exponent (GMPREs). These processes, defined through a wavelet representation, are obtained by replacing the Hurst parameter of Fractional Brownian Motion by a sequence of continuous random processes. We show that these GMPREs can have the most general pointwise H#x00F6;lder exponent function possible, namely, a random H#x00F6;lder exponent which is a function of time and which can be expressed in the strong sense (almost surely for all tt), as a lim inf\liminf of an arbitrary sequence of continuous processes with values in [0,1][0,1].

Cite this article

Antoine Ayache, Stéphane Jaffard, Murad S. Taqqu, Wavelet construction of Generalized Multifractional processes. Rev. Mat. Iberoam. 23 (2007), no. 1, pp. 327–370

DOI 10.4171/RMI/497