Multifractal properties of sample paths of ground state-transformed jump processes

József Lorinczi; Xiaochuan Yang

doi:10.1016/j.chaos.2019.01.008

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arXiv · 1705.00551

Multifractal properties of sample paths of ground state-transformed jump processes

József Lorinczi·Xiaochuan Yang

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Abstract

We consider a class of L\'evy-type processes with unbounded coefficients, arising as Doob $h$-transforms of Feynman-Kac type representations of non-local Schr\"odinger operators, where the function $h$ is chosen to be the ground state of such an operator. First, we show the existence of a c\`adl\`ag version of the so-obtained ground state-transformed processes. Next, we prove that they satisfy a related stochastic differential equation with jumps. Making use of this SDE, we then derive and prove the multifractal spectrum of local H\"older exponents of sample paths of ground state-transformed processes.

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BibTeX RIS

József Lorinczi, Xiaochuan Yang. 2017-05-01. Multifractal properties of sample paths of ground state-transformed jump processes. https://doi.org/10.1016/j.chaos.2019.01.008

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