2-microlocal analysis of martingales and stochastic integrals |
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Authors: | Paul Balança Erick Herbin |
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Institution: | Ecole Centrale Paris, Laboratoire MAS, Grande Voie des Vignes, 92295 Châtenay-Malabry, France |
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Abstract: | Recently, a new approach in the fine analysis of sample paths of stochastic processes 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 behaviour and square of Bessel processes. |
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