Multiparameter multifractional Brownian motion: Local nondeterminism and joint continuity of the local times

作者：Ayache Antoine^*; Shieh Narn Rueih; Xiao Yimin

来源：Annales de l Institut Henri Poincare-Probabilites et Statistiques, 2011, 47(4): 1029-1054.

DOI：10.1214/10-AIHP408

• Multifractional Brownian motion
• Local nondeterminism
• Local times
• Joint continuity

By using a wavelet method we prove that the harmonisable-type N-parameter multifractional Brownian motion (mfBm) is a locally nondeterministic Gaussian random field. This nice property then allows us to establish joint continuity of the local times of an (N, d)-mfBm and to obtain some new results concerning its sample path behavior.

• 出版日期2011-11