Hausdorff, large deviation and Legendre multifractal spectra of Lévy multistable processes (Q1986012)

In the article, the authors compute the Hausdorff multifractal spectrum of two versions of multistable Lévy processes. These processes are extensions of classical Lévy processes motion to the case in which the stability exponent \(\alpha\) evolves in time. The spectrum provides a decomposition of the unit interval \([0, 1]\) into an uncountable disjoint union of sets of the Hausdorff dimension one. The authors also compute the increments-based large deviations multifractal spectrum of the multistable Lévy processes with independent increments. It is shown that this spectrum is concave, and thus, it coincides with the Legendre multifractal spectrum, but it is different from the Hausdorff multifractal spectrum. In this view, the multistable Lévy process with independent increments provides an example in which the strong multifractal formalism does not hold.