Local Hölder regularity for set-indexed processes

Abstract

In this paper, we study the Hölder regularity of set-indexed stochastic processes defined in the framework of Ivanoff-Merzbach. The first key result is a Kolmogorov-like Hölder-continuity Theorem, whose novelty is illustrated on an example which could not have been treated with anterior tools. Increments for set-indexed processes are usually not simply written as $X_U-X_V$, hence we considered different notions of Hölder-continuity. Then, the localization of these properties leads to various definitions of Hölder exponents, which we compare to one another. In the case of Gaussian processes, almost sure values are proved for these exponents, uniformly along the sample paths. As an application, the local regularity of the set-indexed fractional Brownian motion is proved to be equal to the Hurst parameter uniformly, with probability one.

32 pages

References in corpus (2)

• 2-microlocal analysis of martingales and stochastic integrals
• The set-indexed Lévy process: Stationarity, Markov and sample paths properties

Cited by in corpus (1)

• An increment type set-indexed Markov property