Wavelet methods to study the pointwise regularity of the generalized Rosenblatt process
Probability
2022-03-17 v1 Classical Analysis and ODEs
Functional Analysis
Abstract
We prove that we can identify three types of pointwise behaviour in the regularity of the (generalized) Rosenblatt process. This extends to a non Gaussian setting previous results known for the (fractional) Brownian motion. On this purpose, fine bounds on the increments of the Rosenblatt process are needed. Our analysis is essentially based on various wavelet methods.
Keywords
Cite
@article{arxiv.2203.08487,
title = {Wavelet methods to study the pointwise regularity of the generalized Rosenblatt process},
author = {Lara Daw and Laurent Loosveldt},
journal= {arXiv preprint arXiv:2203.08487},
year = {2022}
}
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53 pages