Superposition of Diffusions with Linear Generator and its Multifractal Limit Process

DOI10.1051/PS:2003008zbMath1017.60087OpenAlexW2132542030MaRDI QIDQ4709879

Endre Iglói, Gyorgy H. Terdik

Publication date: 23 June 2003

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=PS_2003__7__23_0

zbMATH Keywords

self-similaritysuperpositionstationaritydiffusion processesfractalslong range dependencebispectrumsquare root processnetwork trafficCIR processeshigher order statisticsDLG process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Identification in stochastic control theory (93E12) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (4)

Statistical inference using higher-order information ⋮ Log-normal, log-gamma and log-negative inverted gamma scenarios in multifractal products of stochastic processes ⋮ Intermittency of superpositions of Ornstein-Uhlenbeck type processes ⋮ Renormalization group of and convergence to the LISDLG process

Uses Software

• longmemo

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