Continuous Gaussian multifractional processes with random pointwise Hölder regularity

Let X be an arbitrary centered Gaussian process whose trajectories are, with probability one, continuous nowhere differentiable functions. It follows from a classical result, derived from zero-one law, that, with probability one, the trajectories of X have the same global Hölder regularity over any compact interval, that is the uniform Hölder exponent does not depend on the choice of a trajectory. A similar phenomenon happens with their local Hölder regularity measured through the local Hölder exponent. Therefore, it seems natural to ask the following question: does such a phenomenon also occur with their pointwise Hölder regularity measured through the pointwise Hölder exponent? In this article, using the framework of multifractional processes, we construct a family of counterexamples showing that the answer to this question is not always positive.

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