Multifractal processes.
This is a complete updating survey on multifractal processing of stochastic motions. The first part presents the toolkit for the analysis of the paths of a process, and thus also of functions. Path-free versions of the multifractal tools (using suitable averages) are also introduced. Different notions of exponents sentinelling the local singularity of paths are introduced, in particular Hölder and wavelet singularity exponents. Several fine and grain (Hausdorff) \textit{dimensional spectra} associated with a singularity exponent, together with the related \(L^q\)-\textit{spectra} obtained from the scaling of the \(q\)-th moments of a partition function, are defined. Exact results on the connection -- via Legendre transforming -- between both types of multifractal decompositions -- the so-called \textit{multifractal formalism} -- are formulated and proved. The second part discusses in detail the multifractal analysis of significant processes, e.g., binomial cascades, and statistical self-similar processes (fractional Brownian motion, Lévy motion). Wavelet-based multifractal analysis receives specific attention here. A recent class of processes with rich multifractal structure is introduced. They may be synthesized by compounding a self-similar (mono-fractal) process with a fully structured multifractal process for time change. Estimation issues and modelling features are considered throughout the manuscript. Perspectives are addressed in a closing section. For the entire collection see [Zbl 1005.00017].
- Multifractal scaling: general theory and approach by wavelets
- The multifractal nature of Lévy processes
- Multifractal characteristics of singular signals
- Hausdorff, large deviation and Legendre multifractal spectra of Lévy multistable processes
- Multifractal processes: definition, properties and new examples
- Diffusion on multifractals
- Wavelet leaders and bootstrap for multifractal analysis of images
- Multifractrality of nonlinear iterative processes
- The multifractal nature of Lévy processes
- Singularity spectra of fractional Brownian motions as a multi-fractal
- \(p\)-exponent and \(p\)-leaders. I: Negative pointwise regularity
- \(p\)-exponent and \(p\)-leaders. II: Multifractal analysis. relations to detrended fluctuation analysis
- Multifractality of jump diffusion processes
- Multifractal analysis of a class of additive processes with correlated non-stationary increments
- A class of multifractal processes constructed using an embedded branching process
- Multifractal analysis in a mixed asymptotic framework
- Hausdorff, large deviation and Legendre multifractal spectra of Lévy multistable processes
- A survey on prescription of multifractal behavior
- Hausdorff and Fourier dimension of graph of continuous additive processes
- Multifractal processes: definition, properties and new examples
- The Hausdorff spectrum of a class of multifractal processes
- A 2D wavelet-based multiscale approach with applications to the analysis of digital mammograms
- Structure function and fractal dissipation for an intermittent inviscid dyadic model
- Multivariate multifractal analysis
- On multifractal time subordination
- On multifractality and time subordination for continuous functions
- A class of multifractal semi-stable processes including Lévy subordinators and Mandelbrot multiplicative cascades
- Combining multifractal additive and multiplicative chaos
- The singularity spectrum of Lévy processes in multifractal time
- Intermittency in the small-time behavior of Lévy processes
- Multifractal analysis based on p-exponents and lacunarity exponents
- The multifractal nature of Boltzmann processes
- Multifractal scaling: general theory and approach by wavelets
- Detecting multifractal stochastic processes under heavy-tailed effects
- Renewal of singularity sets of random self-similar measures
- On measures resisting multifractal analysis
- Multifractality of products of geometric Ornstein-Uhlenbeck-type processes
- Why study multifractal spectra?
- 2-microlocal analysis of martingales and stochastic integrals
- scientific article; zbMATH DE number 2037844 (Why is no real title available?)
- Multifractal Analysis of Multivariate Images Using Gamma Markov Random Field Priors
- A stochastic model of sedimentation: probabilities and multifractality
- BOUNDS ON THE SUPPORT OF THE MULTIFRACTAL SPECTRUM OF STOCHASTIC PROCESSES
- Apparent multifractality of self-similar Lévy processes
- Multifractal characteristics of singular signals
- NEW INSIGHTS INTO THE ESTIMATION OF SCALING EXPONENTS
- Multifractal scaling of products of birth-death processes
- Unimodal maps perturbed by heteroscedastic noise: an application to financial systems
- Multifractal analysis of infinite products of stationary jump processes
- Criticisms of modelling packet traffic using long-range dependence (extended version)
- On the estimation of the large deviations spectrum
- A comprehensive approach to multifractal analysis
- Singularity spectrum of generic -Hölder regular functions after time subordination
- Multi-operator scaling random fields
- Linearization effect in multifractal analysis: insights from the random energy model
- Limit theorems for multifractal products of geometric stationary processes
- \(L^p\)-variations for multifractal fractional random walks
- Log-normal, log-gamma and log-negative inverted gamma scenarios in multifractal products of stochastic processes
- An efficient and reliable quadrature algorithm for integration with respect to binomial measures
- Analytical and numerical solutions of a one-dimensional fractional-in-space diffusion equation in a composite medium
- Uniform convergence for complex [0,1]-martingales
- Convergence of complex multiplicative cascades
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