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Fractional Generalized Random Fields of Variable Order 

Authors: M. D. Ruiz-Medina a;  V. V. Anh b; J. M. Angulo a
Affiliations:   a Department of Statistics and Operations Research, University of Granada, Granada, Spain
b School of Mathematical Sciences, Queensland University of Technology, Brisbane, Australia
DOI: 10.1081/SAP-120030456
Publication Frequency: 6 issues per year
Published in: journal Stochastic Analysis and Applications, Volume 22, Issue 3 January 2005 , pages 775 - 799
Formats available: HTML (English) : PDF (English)
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Abstract

We study the class of random fields having their reproducing kernel Hilbert space isomorphic to a fractional Sobolev space of variable order on Ropfn. Prototypes of this class include multifractional Brownian motion, multifractional free Markov fields, and multifractional Riesz-Bessel motion. The study is carried out using the theory of generalized random fields defined on fractional Sobolev spaces of variable order. Specifically, we consider the class of generalized random fields satisfying a pseudoduality condition of variable order. The factorization of the covariance operator of the pseudodual allows the definition of a white-noise linear filter representation of variable order. In the ordinary case, the Houmllder continuity, in the mean-square sense, of the class of random fields introduced is proved, and its mean-square Houmllder spectrum is defined in terms of the variable regularity order of the functions in the associated reproducing kernel Hilbert space. The pseudodifferential representation of variable order of the resulting class of multifractal random fields is also defined. Some examples of pseudodifferential models of variable order are then given.
Keywords: Generalized random fields; Pseudodifferential operators; Multifractional Brownian motion; Multifractional Riesz-Bessel motion
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