Some properties of a multifractional Brownian motion

In the paper, we study the existence of the local nondeterminism and the joint continuity of the local time of a multifractional Brownian motion, and we get upper and lower bounds of Hausdroff dimensions of level sets of a multifractional Brownian motion.

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Year of publication:	2007
Authors:	Lin, Zhengyan ; Zheng, Jing
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 77.2007, 7, p. 687-692
Publisher:	Elsevier
Keywords:	Hausdorff dimension Local nondeterminism Lever set Local time Multifractional Brownian motion

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223871