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Identification of the pointwise Holder exponent of Generalized Mutifractional Brownian Motion

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16 pages
Identification of the pointwise Hölder exponent of Generalized Multifractional Brownian Motion Antoine Ayache USTL (Lille) Cassino December 2010 A.Ayache (USTL) Identification of GMBM Cassino December 2010 1 / 16

  • positive deterministic constant

  • generalized quadratic

  • course lim

  • quadratic variations

  • h?1 v˜


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