Multifractal scenarios for products of geometric Levy-based stationary models

作者：Denisov D E^*; Leonenko N N

来源：Stochastic Analysis and Applications, 2016, 34(4): 610-643.

DOI：10.1080/07362994.2016.1164606

• Multifractal products
• stationary processes
• short-range dependence
• long-range dependence
• multifractal scenarios
• Renyi function
• geometric Gaussian process
• geometric Ornstein-Uhlenbeck processes
• Levy processes
• superpositions
• scaling of moments
• log-normal scenario
• log-gamma scenario
• log normal tempered stable scenario
• log-variance gamma scenario
• Primary 60G57
• 60G10
• 60G17

We investigate the properties of multifractal products of geometric Gaussian processes with possible long-range dependence and geometric Ornstein-Uhlenbeck processes driven by Levy motion and their finite and infinite superpositions. We construct the multifractal, such as log-gamma, log-tempered stable, or log-normal tempered stable scenarios.

• 出版日期2016