arXiv subjects

Jacques Lévy Véhel

Publications and source records attributed to Jacques Lévy Véhel.

4 recordsLinked to original sources

arXiv2018

Tempered Fractional Multistable Motion and Tempered Multifractional Stable Motion

This work defines two classes of processes, that we term {\it tempered fractional multistable motion} and {\it tempered multifractional stable motion}. They are extensions of fractional multistable motion and multifractional stable motion, respectively, obtained by adding an exponential tempering to the integrands. We investigate certain basic features of these processes, including scaling property, tail probabilities, absolute moment, sample path properties, pointwise Hölder exponent, Hölder continuity of quasi norm, (strong) localisability and semi-long-range dependence structure. These processes may provide useful models for data that exhibit both dependence and varying local regularity/intensity of jumps.

math.PR↗

arXiv2017

Sampling and Frequency Warping

Optimal sampling of non band-limited functions is an issue of great importance that has attracted considerable attention. We propose to tackle this problem through the use of a frequency warping: First, by a nonlinear shrinking of frequencies, the function is transformed into a band-limited one. One may then perform a decomposition in Fourier series. This process gives rise to new orthonormal bases of the Sobolev spaces H^alpha. When alpha is an integer, these orthonormal bases can be expressed in terms of Laguerre functions. We study the reconstruction and speed of convergence properties of the warping-based sampling. Besides theoretical considerations, numerical experiments are performed.

math.CA↗

arXiv2015

Multistable Lévy motions and their continuous approximations

Multistable Lévy motions are extensions of Lévy motions where the stability index is allowed to vary in time. Several constructions of these processes have been introduced recently, based on Poisson and Ferguson-Klass-LePage series representations and on multistable measures. In this work, we prove a functional central limit theorem for the independent-increments multistable Lévy motion, as well as of integrals with respect to these processes, using weighted sums of independent random variables. This allows us to construct continuous approximations of multistable Lévy motions. In particular, we prove that multistable Lévy motions are stochastic Hölder continuous and strongly localisable.

math.PR↗

arXiv2014

Hausdorff, Large Deviation and Legendre Multifractal Spectra of Lévy Multistable Processes

We compute the Hausdorff multifractal spectrum of two versions of multistable L{é}vy motions. These processes extend classical L{é}vy motion by letting the stability exponent $α$ evolve in time. The spectra provide a decomposition of [0, 1] into an uncountable disjoint union of sets with Hausdorff dimension one. We also compute the increments-based large deviations multifractal spectrum of the independent in-crements multistable L{é}vy motion. This spectrum turns out to be concave and thus coincides with the Legendre multifractal spectrum, but it is different from the Haus-dorff multifractal spectrum. The independent increments multistable L{é}vy motion thus provides an example where the strong multifractal formalism does not hold.

math.PR↗