Log-infinitely divisible multifractal processes
From MaRDI portal
Publication:1416862
DOI10.1007/s00220-003-0827-3zbMath1032.60046arXivcond-mat/0207094OpenAlexW4299375874MaRDI QIDQ1416862
Jean-François Muzy, Emmanuel Bacry
Publication date: 16 December 2003
Published in: Communications in Mathematical Physics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/cond-mat/0207094
Random measures (60G57) Fractals (28A80) Stochastic methods applied to problems in equilibrium statistical mechanics (82B31) Stable stochastic processes (60G52)
Related Items (96)
Multifractal processes: definition, properties and new examples ⋮ Densities of some Poisson \(\mathbf T\)-martingales and random covering numbers ⋮ Continuous-Time Skewed Multifractal Processes as a Model for Financial Returns ⋮ Mellin transform of the limit lognormal distribution ⋮ Extreme values and fat tails of multifractal fluctuations ⋮ Continuous cascade models for asset returns ⋮ Fractional Brownian motion with Hurst index \({H = 0}\) and the Gaussian unitary ensemble ⋮ Liouville Brownian motion ⋮ Multifractal scenarios for products of geometric Lévy-based stationary models ⋮ The singularity spectrum of Lévy processes in multifractal time ⋮ Volatility is rough ⋮ Detecting multifractal stochastic processes under heavy-tailed effects ⋮ On Barnes beta distributions and applications to the maximum distribution of the 2D Gaussian free field ⋮ The multiplicative chaos of \(H=0\) fractional Brownian fields ⋮ From rough to multifractal volatility: the log S-fBm model ⋮ Gaussian multiplicative chaos and KPZ duality ⋮ The distribution of Gaussian multiplicative chaos on the unit interval ⋮ Multifractal analysis of infinite products of stationary jump processes ⋮ Freezing transitions and extreme values: random matrix theory, and disordered landscapes ⋮ Basic properties of critical lognormal multiplicative chaos ⋮ A class of multifractal processes constructed using an embedded branching process ⋮ Virtual super resolution of scale invariant textured images using multifractal stochastic processes ⋮ Trigonometric multiplicative chaos and applications to random distributions ⋮ BLACK–SCHOLES–MERTON IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE ⋮ CONSTANT ELASTICITY OF VARIANCE IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE AND LEVERAGE EFFECT ⋮ Counting function fluctuations and extreme value threshold in multifractal patterns: the case study of an ideal \(1/f\) noise ⋮ The multifractal nature of heterogeneous sums of Dirac masses ⋮ Random conformal weldings ⋮ Intermittency expansions for limit lognormal multifractals ⋮ Optimal transportation for multifractal random measures and applications ⋮ Modelling Lagrangian velocity and acceleration in turbulent flows as infinitely differentiable stochastic processes ⋮ Lognormal \(\star\)-scale invariant random measures ⋮ From constructive field theory to fractional stochastic calculus. I: An introduction: Rough path theory and perturbative heuristics ⋮ Testing the type of a semi-martingale: Itō against multifractal ⋮ The Riemann zeta function and Gaussian multiplicative chaos: statistics on the critical line ⋮ Localization in Gaussian disordered systems at low temperature ⋮ Multifractal analysis in a mixed asymptotic framework ⋮ On the estimation of the large deviations spectrum ⋮ Estimating the scaling function of multifractal measures and multifractal random walks using ratios ⋮ Levy multiplicative chaos and star scale invariant random measures ⋮ Critical Gaussian multiplicative chaos: convergence of the derivative martingale ⋮ Gaussian multiplicative chaos and applications: a review ⋮ \(L^p\)-variations for multifractal fractional random walks ⋮ NEW INSIGHTS INTO THE ESTIMATION OF SCALING EXPONENTS ⋮ Dimension result and KPZ formula for two-dimensional multiplicative cascade processes ⋮ On exact scaling log-infinitely divisible cascades ⋮ From constructive field theory to fractional stochastic calculus. II: Constructive proof of convergence for the Lévy area of fractional Brownian motion with Hurst index \(\alpha \in \left(\frac{1}{8},\frac{1}{4}\right)\) ⋮ Continuous multifractal models with zero values: a continuous $\beta $ -multifractal model ⋮ Log-normal continuous cascade model of asset returns: aggregation properties and estimation ⋮ ON THE STOCHASTIC DEPENDENCE STRUCTURE OF THE LIMIT LOGNORMAL PROCESS ⋮ Diffusion in planar Liouville quantum gravity ⋮ FORECASTING VOLATILITY WITH THE MULTIFRACTAL RANDOM WALK MODEL ⋮ The multifractal random walk as pathwise stochastic integral: construction and simulation ⋮ A theory of intermittency differentiation of 1D infinitely divisible multiplicative chaos measures ⋮ Measuring multiscaling in financial time-series ⋮ On the parabolic and hyperbolic Liouville equations ⋮ Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint ⋮ Random Fields with Multifractional Regularity Order on Heterogenous Fractal Domains ⋮ Random curves by conformal welding ⋮ Self-scaling of turbulent energy dissipation correlators ⋮ A note on moments of limit log-infinitely divisible stochastic measures of Bacry and Muzy ⋮ On the limit lognormal and other limit log-infinitely divisible laws ⋮ Gaussian multiplicative chaos revisited ⋮ Properties of a simple bilinear stochastic model: Estimation and predictability ⋮ Convergence of the Structure Function of a Multifractal Random Walk in a Mixed Asymptotic Setting ⋮ Multifractal analysis of complex random cascades ⋮ Convergence of the spectrum of empirical covariance matrices for independent MRW processes ⋮ Linearization effect in multifractal analysis: insights from the random energy model ⋮ Multifractality of products of geometric Ornstein-Uhlenbeck-type processes ⋮ Uniform convergence for complex [0,1-martingales] ⋮ Convergence of complex multiplicative cascades ⋮ Limit theorems for multifractal products of geometric stationary processes ⋮ Renormalization of critical Gaussian multiplicative chaos and KPZ relation ⋮ Functional Feynman-Kac equations for limit lognormal multifractals ⋮ Poisson-Dirichlet statistics for the extremes of a log-correlated Gaussian field ⋮ Dynamical Liouville ⋮ BOUNDS ON THE SUPPORT OF THE MULTIFRACTAL SPECTRUM OF STOCHASTIC PROCESSES ⋮ Hydrodynamic turbulence and intermittent random fields ⋮ On the interplay between multiscaling and stock dependence ⋮ An Introduction to Mandelbrot Cascades ⋮ Confidence intervals for the scaling function of multifractal random walks ⋮ The conditional law of the Bacry-Muzy and Riemann-Liouville log correlated Gaussian fields and their GMC, via Gaussian Hilbert and fractional Sobolev spaces ⋮ A review of conjectured laws of total mass of Bacry–Muzy GMC measures on the interval and circle and their applications ⋮ Apparent multifractality of self-similar Lévy processes ⋮ Multifractal point processes and the spatial distribution of wildfires in French Mediterranean regions ⋮ Dynamical fractional and multifractal fields ⋮ The Riemann-Liouville field and its GMC as \(H \to 0\), and skew flattening for the rough Bergomi model ⋮ On a skewed and multifractal unidimensional random field, as a probabilistic representation of Kolmogorov's views on turbulence ⋮ Combining multifractal additive and multiplicative chaos ⋮ Intermittent process analysis with scattering moments ⋮ Difference based estimators and infill statistics ⋮ Ambit fields: a stochastic modelling approach ⋮ CONSTRUCTION OF MULTIFRACTAL FRACTIONAL RANDOM WALKS WITH HURST INDEX SMALLER THAN 1/2 ⋮ Renewal of singularity sets of random self-similar measures ⋮ RÉNYI FUNCTION FOR MULTIFRACTAL RANDOM FIELDS ⋮ Complex Gaussian multiplicative chaos
This page was built for publication: Log-infinitely divisible multifractal processes