Identification of the pointwise Holder exponent of Generalized Mutifractional Brownian Motion

Identification of the pointwise Hölder exponent of Generalized Multifractional Brownian Motion Antoine Ayache USTL (Lille) Cassino December 2010 A.Ayache (USTL) Identification of GMBM Cassino December 2010 1 / 16

• positive deterministic constant


• generalized quadratic


• course lim


• quadratic variations


• h?1 v˜