Theory of Probability and Mathematical Statistics
On the pointwise regularity of the Multifractional Brownian Motion and some extensions
C. Esser and L. Loosveldt
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Abstract: We study the pointwise regularity of the Multifractional Brownian Motion and, in particular, we obtain the existence of so-called slow points of the process, that is points which exhibit a slow oscillation instead of the a.e. regularity. This result entails that a non self-similar process can also exhibit such a behavior. We also consider various extensions with the aim of imposing weaker regularity assumptions on the Hurst function without altering the regularity of the process.
Keywords: Multifractional Brownian motion, random wavelets series, modulus of continuity, slow/ordinary/rapid points
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