We consider the regularity of sample paths of Volterra-L\'{ e}vy processes. These processes are defined as stochastic integrals $$ M(t)=\int_{ 0}^{ t}F(t,r)dX(r), \ \ t \in \mathds{ R}_{ +}, $$ where $X$ is a L\'{ e}vy process and $F$ is a deterministic real-valued function. We derive the spectrum of singularities and a result on the 2-microlocal frontier of $\{ M(t)\}_{ t\in [0,1]}$, under regularity assumptions on the function $F$.
Categories: math.PR