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Self-regulating processes


 
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1. Title Title of document Self-regulating processes
 
2. Creator Author's name, affiliation, country Olivier Barrière; IRCCyN; France
 
2. Creator Author's name, affiliation, country Antoine Echelard; Inria and École Centrale Paris; France
 
2. Creator Author's name, affiliation, country Jacques Lévy Véhel; Inria and École Centrale Paris; France
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Hölder regularity; Weierstrass function; multifractional Brownian motion; self-regulating processes
 
3. Subject Subject classification 60G17; 60G22; 26A16
 
4. Description Abstract We construct functions and stochastic processes for which a functional relation holds between amplitude and local regularity, as measured by the pointwise or local Hölder exponent. We consider in particular functions and processes built by extending Weierstrass function, multifractional Brownian motion and the Lévy construction of Brownian motion. Such processes have recently proved to be relevant models in various applications. The aim of this work is to provide a theoretical background to these studies and to provide a first step in the development of a theory for such self-regulating processes.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2012-12-16
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/2010
 
10. Identifier Digital Object Identifier 10.1214/EJP.v17-2010
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 17
 
12. Language English=en en
 
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