An optimality result about sample path properties of Operator Scaling Gaussian Random Fields

2013/02/04 by Marianne Clausel, Clausel, M., Béatrice Vedel +1
Decision Sciences · Economics, Econometrics and Finance · #60G15 60G18 60G60 60G17 42C40 46E35 #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Probability and Risk Models #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1302.0818

openalex publication_date 2013/02/04 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/28

Abstract

We study the sample paths properties of Operator scaling Gaussian random fields. Such fields are anisotropic generalizations of anisotropic self-similar random fields as anisotropic Fractional Brownian Motion. Some characteristic properties of the anisotropy are revealed by the regularity of the sample paths. The sharpest way of measuring smoothness is related to these anisotropies and thus to the geometry of these fields.

Citations

• Sample paths properties of Gaussian fields with equivalent spectral densities

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