Sample Path Properties of the Fractional Wiener--Weierstrass Bridge

Alexander Schied; Zhenyuan Zhang

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arXiv · 2411.05204

Sample Path Properties of the Fractional Wiener--Weierstrass Bridge

Alexander Schied·Zhenyuan Zhang

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Abstract

Fractional Wiener--Weierstrass bridges are a class of Gaussian processes that arise from replacing the trigonometric function in the construction of classical Weierstrass functions by a fractional Brownian bridge. We investigate the sample path properties of such processes, including local and uniform moduli of continuity, $\Phi$-variation, Hausdorff dimension, and location of the maximum. Our analysis relies heavily on upper and lower bounds of fractional integrals, where we establish a novel improvement of the classical Hardy--Littlewood inequality for fractional integrals of a special class of step functions.

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Alexander Schied, Zhenyuan Zhang. 2024-11-07. Sample Path Properties of the Fractional Wiener--Weierstrass Bridge. https://arxiv.org/abs/2411.05204

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