2022/06/14 by El Mehdi Haress, Haress, El Mehdi, Alexandre Richard +1
Economics, Econometrics and Finance · #Stochastic processes and financial applications #Financial Risk and Volatility Modeling #Complex Systems and Time Series Analysis
paper · pdf · doi:10.48550/arxiv.2206.06648
The fractional Brownian motion can be considered as a Gaussian field indexed by (t,H)∈ ℝ+× (0,1), where H is the Hurst parameter. On compact time intervals, it is known to be almost surely jointly Hölder continuous in time and Lipschitz continuous in H. First, we extend this result to the whole time interval ℝ+ and consider both simple and rectangular increments. Then we consider SDEs driven by fractional Brownian motion with contractive drift. The solutions and their ergodic means are proven to be almost surely Hölder continuous in H, uniformly in time. This result is used in a separate work for statistical applications. We also deduce a sensibility result of the invariant measure in H. The proofs are based on variance estimates of the increments of the fractional Brownian motion and fractional Ornstein-Uhlenbeck processes, multiparameter versions of the Garsia-Rodemich-Rumsey lemma and a combinatorial argument to estimate the expectation of a product of Gaussian variables.