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Hölder Exponent for a Two-Parameter Lévy Process

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  • Lagaize, Sandrine

Abstract

We study the regularity of a two-parameter Lévy process in the neighbourhood of a fixed point and then we compute the Hölder exponent of such a process.

Suggested Citation

  • Lagaize, Sandrine, 2001. "Hölder Exponent for a Two-Parameter Lévy Process," Journal of Multivariate Analysis, Elsevier, vol. 77(2), pages 270-285, May.
    • Handle: RePEc:eee:jmvana:v:77:y:2001:i:2:p:270-285
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    References listed on IDEAS

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    1. Adler, R. J. & Monrad, D. & Scissors, R. H. & Wilson, R., 1983. "Representations, decompositions and sample function continuity of random fields with independent increments," Stochastic Processes and their Applications, Elsevier, vol. 15(1), pages 3-30, June.
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    Cited by:

    1. Herbin, Erick & Merzbach, Ely, 2013. "The set-indexed Lévy process: Stationarity, Markov and sample paths properties," Stochastic Processes and their Applications, Elsevier, vol. 123(5), pages 1638-1670.
    2. Shai Covo, 2011. "Two-Parameter Lévy Processes Along Decreasing Paths," Journal of Theoretical Probability, Springer, vol. 24(1), pages 150-169, March.

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