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Multifractal properties of sample paths of ground state-transformed jump processes

Probability 2019-02-05 v2 Mathematical Physics math.MP

Abstract

We consider a class of L\'evy-type processes with unbounded coefficients, arising as Doob hh-transforms of Feynman-Kac type representations of non-local Schr\"odinger operators, where the function hh is chosen to be the ground state of such an operator. First, we show the existence of a c\`adl\`ag version of the so-obtained ground state-transformed processes. Next, we prove that they satisfy a related stochastic differential equation with jumps. Making use of this SDE, we then derive and prove the multifractal spectrum of local H\"older exponents of sample paths of ground state-transformed processes.

Keywords

Cite

@article{arxiv.1705.00551,
  title  = {Multifractal properties of sample paths of ground state-transformed jump processes},
  author = {József Lorinczi and Xiaochuan Yang},
  journal= {arXiv preprint arXiv:1705.00551},
  year   = {2019}
}

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23 pages