LOCAL HOLDER REGULARITY FOR SET-INDEXED PROCESSES

In this paper, we study the Holder regularity of set-indexed stochastic processes defined in the framework of Ivanoff-Merzbach. The first key result is a Kolmogorov-like Holder-continuity Theorem, whose novelty is illustrated on an example which could not have been treated with anterior tools. Increments for set-indexed processes are usually not simply written as X-U - X-V, hence we considered different notions of Holder-continuity. Then, the localization of these properties leads to various definitions of Holder exponents, which we compare to one another. In the case of Gaussian processes, almost sure values are proved for these exponents, uniformly along the sample paths. As an application, the local regularity of the set-indexed fractional Brownian motion is proved to be equal to the Hurst parameter uniformly, with probability one.