Log-infinitely divisible multifractal processes (Q1416862): Difference between revisions

The authors define a large class of multifractal random measures and processes as functionals of Poisson point processes within some sets of conical type. This \(q\)-moment of their increments over time \(l\) is of the type \(K_ql^{\zeta_q}\) exactly or asymptotically as \(l\to 0+\) with a nonlinear function \(\zeta_q\). This construction involves some ``continuous stochastic multiplication'' from coarse to fine scales assuming that the finest scale goes to zero. The authors prove the existence of the corresponding limits and study their main statistical properties. The introduced processes generalise within the unified framework both the recently introduced log-normal multifractal random walk processes and the log-Poisson product of cylindrical pulses.