path continuity Hölder regularity linear fractional stable motion self-similarity multifractional Brownian motion local self-similarity heavy tails
Issue Date:
2005
Publisher:
Institute of Mathematics and Informatics Bulgarian Academy of Sciences
Citation:
Pliska Studia Mathematica Bulgarica, Vol. 17, No 1, (2005), 271p-294p
Abstract:
We also show that one can have degenerate tangent processes Z(t), when the function H(t) is not sufficiently regular. The LMSM process is closely related to the Gaussian multifractional Brownian motion (MBM) process. We establish similar weak convergence results for the MBM.
