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Journal Articles Stochastic Processes and their Applications Year : 2012

2-microlocal analysis of martingales and stochastic integrals

Abstract

Recently, a new approach in the fine analysis of stochastic processes sample paths has been developed to predict the evolution of the local regularity under (pseudo-)differential operators. In this paper, we study the sample paths of continuous martingales and stochastic integrals. We proved that the almost sure 2-microlocal frontier of a martingale can be obtained through the local regularity of its quadratic variation. It allows to link the Hölder regularity of a stochastic integral to the regularity of the integrand and integrator processes. These results provide a methodology to predict the local regularity of diffusions from the fine analysis of its coefficients. We illustrate our work with examples of martingales with unusual complex regularity behavior and square of Bessel processes.

Dates and versions

hal-00734418 , version 1 (21-09-2012)

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Paul Balança, Erick Herbin. 2-microlocal analysis of martingales and stochastic integrals. Stochastic Processes and their Applications, 2012, 122, pp.2346-2382. ⟨10.1016/j.spa.2012.03.011⟩. ⟨hal-00734418⟩
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