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research article

Wavelet analysis of the Besov regularity of Levy white noise

Aziznejad, Shayan  
•
Fageot, Julien
January 1, 2020
Electronic Journal Of Probability

We characterize the local smoothness and the asymptotic growth rate of the Levy white noise. We do so by characterizing the weighted Besov spaces in which it is located. We extend known results in two ways. First, we obtain new bounds for the local smoothness via the Blumenthal-Getoor indices of the Levy white noise. We also deduce the critical local smoothness when the two indices coincide, which is true for symmetric-a-stable, compound Poisson, and symmetric-gamma white noises to name a few. Second, we express the critical asymptotic growth rate in terms of the moment properties of the Levy white noise. Previous analyses only provided lower bounds for both the local smoothness and the asymptotic growth rate. Showing the sharpness of these bounds requires us to determine in which Besov spaces a given Levy white noise is (almost surely) not. Our methods are based on the wavelet-domain characterization of Besov spaces and precise moment estimates for the wavelet coefficients of the Levy white noise.

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Type
research article
DOI
10.1214/20-EJP554
Web of Science ID

WOS:000601310200001

Author(s)
Aziznejad, Shayan  
Fageot, Julien
Date Issued

2020-01-01

Published in
Electronic Journal Of Probability
Volume

25

Start page

158

Subjects

Statistics & Probability

•

Mathematics

•

levy white noise

•

weighted besov spaces

•

wavelets

•

moment estimates

•

generalized random processes

•

characteristic functionals

•

differential-equations

•

sample paths

•

sparse

•

spaces

•

moments

•

driven

•

growth

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
LIB  
Available on Infoscience
January 13, 2021
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/174642
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