From N parameter fractional Brownian motions to N parameter multifractional Brownian motions

International audienceMultifractional Brownian motion is an extension of the well-known fractional Brownian motion where the H¨older regularity is allowed to vary along the paths. In this paper, two kinds of multi-parameter extensions of mBm are studied: one is isotropic while the other is not. For each of these processes, a moving average representation, a harmonizable representation, and the covariance structure are given. The H¨older regularity is then studied. In particular, the case of an irregular exponent function H is investigated. In this situation, the almost sure pointwise and local Holder exponents of the multi-parameter mBm are proved to be equal to the correspondent exponents of H. Eventually, a local asymptotic self-similarity property is proved. The limit process can be another process than fBm