Regularity of multifractional moving average processes with random Hurst exponent

A recently proposed alternative to multifractional Brownian motion (mBm) with random Hurst exponent is studied, which we refer to as Ito-mBm. It is shown that Ito-mBm is locally self-similar. In contrast to mBm, its pathwise regularity is almost unaffected by the roughness of the functional Hurst parameter. The pathwise properties are established via a new polynomial moment condition similar to the Kolmogorov-Centsov theorem, allowing for random local Holder exponents. Our results are applicable to a broad class of moving average processes where pathwise regularity and long memory properties may be decoupled, e.g. to a multifractional generalization of the Matern process. (C) 2021 Published by Elsevier B.V.