Multifractal Random Walks as Fractional Wiener Integrals

DOI10.1109/TIT.2009.2023708MaRDI QIDQ4975976zbMATH OpenOpenAlexFDO

Authors Patrice Abry, Pierre Chainais, L. Coutin, Vladas Pipiras

Publication date 8 August 2017

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tit.2009.2023708

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Sums of independent random variables; random walks (60G50) Stochastic integrals (60H05)

Cited in

(10)

• Confidence intervals for the scaling function of multifractal random walks
• The multifractal random walk as pathwise stochastic integral: construction and simulation
• On a skewed and multifractal unidimensional random field, as a probabilistic representation of Kolmogorov's views on turbulence
• Estimating the scaling function of multifractal measures and multifractal random walks using ratios
• Construction of multifractal fractional random walks with Hurst index smaller than \(1/2\)
• Continuous-time skewed multifractal processes as a model for financial returns
• From the long jump random walk to the fractional Laplacian
• Degree distributions of the visibility graphs mapped from fractional Brownian motions and multifractal random walks
• Random walk models for multifractals
• Questioning normality: A study of wavelet leaders distribution

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