Simulation of multifractal products of Ornstein–Uhlenbeck type processes
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Publication:3559670
DOI10.1088/0951-7715/23/4/004zbMath1206.60048OpenAlexW2079246320MaRDI QIDQ3559670
Narn-Rueih Shieh, V. V. Anh, Emanuele Taufer, Nikolai N. Leonenko
Publication date: 6 May 2010
Published in: Nonlinearity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/0951-7715/23/4/004
simulationstochastic differential equationsstationary processessample path propertiesmultifractal processes
Stationary stochastic processes (60G10) Sample path properties (60G17) Random measures (60G57) Probabilistic methods, stochastic differential equations (65C99)
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