The singularity spectrum of Lévy processes in multifractal time

DOI10.1016/J.AIM.2007.02.007MaRDI QIDQ2642058zbMATH OpenOpenAlexFDO

Authors Julien Barral, Stéphane Seuret

Publication date 20 August 2007

Published in Advances in Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.aim.2007.02.007

zbMATH Keywords

Hausdorff dimensionmultifractal functionself-similar measurestochastic processes

Mathematics Subject Classification ID

Hausdorff and packing measures (28A78) Fractals (28A80) Set functions and measures on topological spaces (regularity of measures, etc.) (28C15) Sample path properties (60G17) Processes with independent increments; Lévy processes (60G51)

Review text

The authors study Lévy processes subordinated to the distribution functions of multifractal measures, in short Lévy processes in multifractal time. They provide general results about the spectrum of Hölder exponents of the composed processes, in which the multifractal nature of the underlying Lévy process and the time-change interact in a nontrivial way. An interesting special case is when the process is stable and the subordinator an independent random cascade, in which the composed process is linked to the fixed points of the smoothing transform.

Recommendations

• A class of multifractal semi-stable processes including Lévy subordinators and Mandelbrot multiplicative cascades
• scientific article; zbMATH DE number 972660
• The multifractal nature of Lévy processes
• The multifractal nature of Volterra-Lévy processes
• Multifractal analysis of Lévy fields

Cites work

• A multifractal formalism
• Asymptotic properties and absolute continuity of laws stable by random weighted mean.
• Combining multifractal additive and multiplicative chaos
• Continuity of the multifractal spectrum of a random statistically self-similar measure
• Covering the line with random intervals
• Fixed points of the smoothing transformation
• From multifractal measures to multifractal wavelet series
• scientific article; zbMATH DE number 4088226 (Why is no real title available?)
• scientific article; zbMATH DE number 17407 (Why is no real title available?)
• scientific article; zbMATH DE number 739280 (Why is no real title available?)
• scientific article; zbMATH DE number 3434888 (Why is no real title available?)
• scientific article; zbMATH DE number 3438200 (Why is no real title available?)
• scientific article; zbMATH DE number 1944330 (Why is no real title available?)
• scientific article; zbMATH DE number 1488132 (Why is no real title available?)
• scientific article; zbMATH DE number 2154233 (Why is no real title available?)
• scientific article; zbMATH DE number 836609 (Why is no real title available?)
• Inside singularity sets of random Gibbs measures
• Intermittent turbulence in self-similar cascades: divergence of high moments and dimension of the carrier
• Log-infinitely divisible multifractal processes
• Multifractal analysis of infinite products
• Multifractal dimensions and scaling exponents for stronlgy bounded random cascades
• Multifractal products of cylindrical pulses
• Old friends revisited: The multifractal nature of some classical functions
• On lacunary wavelet series.
• On Non-Scale-Invariant Infinitely Divisible Cascades
• On the multifractal analysis of measures
• Positive martingales and random measures
• Random Self-Similar Multifractals
• Scaling exponents and multifractal dimensions for independent random cascades
• Sums of Dirac masses and conditioned ubiquity
• Sur certaines martingales de Benoit Mandelbrot
• Sur une extension de la notion de loi semi-stable. (On an extension of the notion of semi-stable law)
• The multifractal nature of Lévy processes
• The multifractal spectrum of statistically self-similar measures

Cited in

(31)

• Singularity sets of Lévy processes
• The multifractal nature of Lévy processes
• Multifractality of jump diffusion processes
• Multifractal structure of a general subordinator.
• A pure jump Markov process with a random singularity spectrum
• Hausdorff, large deviation and Legendre multifractal spectra of Lévy multistable processes
• Multifractal properties of sample paths of ground state-transformed jump processes
• The Hausdorff spectrum of a class of multifractal processes
• On multifractal time subordination
• Random wavelet series based on a tree-indexed Markov chain
• On multifractality and time subordination for continuous functions
• A class of multifractal semi-stable processes including Lévy subordinators and Mandelbrot multiplicative cascades
• Inverse Problems in Multifractal Analysis
• The multifractal nature of Boltzmann processes
• Gaussian multiplicative chaos and KPZ duality
• Critical Mandelbrot cascades
• Hausdorff and packing spectra, large deviations, and free energy for branching random walks in \({\mathbb{R}^d}\)
• Gaussian multiplicative chaos and applications: a review
• Spectral dimension of Liouville quantum gravity
• Apparent multifractality of self-similar Lévy processes
• Multifractal formalism for the inverse of random weak Gibbs measures
• Prevalent mixed Hölder spectra and mixed multifractal formalism in a product of continuous Besov spaces
• scientific article; zbMATH DE number 972660 (Why is no real title available?)
• A localized Jarník-Besicovitch theorem
• The graph and range singularity spectra of b-adic independent cascade functions
• Constructing self-similar subsets within the fractal support of lacunary wavelet series for their multifractal analysis
• Singularity spectrum of generic -Hölder regular functions after time subordination
• The multifractal nature of Volterra-Lévy processes
• Inside singularity sets of random Gibbs measures
• Fractional multiplicative processes
• Convergence of complex multiplicative cascades

This page was built for publication: The singularity spectrum of Lévy processes in multifractal time

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2642058)