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

DOI10.1016/J.SPA.2019.06.007zbMATH Open1472.60068arXiv1412.0599OpenAlexW2963685924MaRDI QIDQ1986012FDOQ1986012

Authors: Yanyan Li 

Publication date: 7 April 2020

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

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.

Full work available at URL: https://arxiv.org/abs/1412.0599

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zbMATH Keywords

Hausdorff multifractal spectrumincrements-based large deviations multifractal spectrumLegendre multifractal spectrumstrong multifractal formalismmultistable Lévy processes

Mathematics Subject Classification ID

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

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Cited In (11)

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