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

DOI10.1016/J.SPA.2019.06.007MaRDI QIDQ1986012zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 7 April 2020

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1412.0599, https://hal.inria.fr/hal-01089482/file/Multistable_Spectrum.pdf

zbMATH Keywords

Hausdorff multifractal spectrumincrements-based large deviations multifractal spectrumLegendre multifractal spectrummultistable Lévy processesstrong multifractal formalism

Mathematics Subject Classification ID

Fractals (28A80) Sample path properties (60G17) Fractional processes, including fractional Brownian motion (60G22) Processes with independent increments; Lévy processes (60G51)

Abstract: We compute the Hausdorff multifractal spectrum of two versions of multistable L{'e}vy motions. These processes extend classical L{'e}vy motion by letting the stability exponent $alpha$ evolve in time. The spectra provide a decomposition of [0, 1] into an uncountable disjoint union of sets with Hausdorff dimension one. We also compute the increments-based large deviations multifractal spectrum of the independent in-crements multistable L{'e}vy motion. This spectrum turns out to be concave and thus coincides with the Legendre multifractal spectrum, but it is different from the Haus-dorff multifractal spectrum. The independent increments multistable L{'e}vy motion thus provides an example where the strong multifractal formalism does not hold.

Review text

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.

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Cited in

(11)

• The Hausdorff dimension of the range of the Lévy multistable processes
• Multifractal analysis of a class of additive processes with correlated non-stationary increments
• The Hausdorff spectrum of a class of multifractal processes
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