Construction of multifractal fractional random walks with Hurst index smaller than 1/2

DOI10.1142/S0219493713500032zbMATH Open1279.60050MaRDI QIDQ2862998FDOQ2862998

Authors: Nicolas Perpète 

Publication date: 20 November 2013

Published in: Stochastics and Dynamics (Search for Journal in Brave)

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zbMATH Keywords

fractional Brownian motionscaling propertiesmultifractal random walksinfinitely divisible cascades

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Self-similar stochastic processes (60G18) Other physical applications of random processes (60K40)

Cites Work

• The infinite number of generalized dimensions of fractals and strange attractors
• KPZ formula for log-infinitely divisible multifractal random measures
• Lognormal \(\star\)-scale invariant random measures
• Log-infinitely divisible multifractal processes
• Continuous cascade models for asset returns
• Multifractal Random Walks as Fractional Wiener Integrals
• \(L^p\)-variations for multifractal fractional random walks

Cited In (1)

• On a skewed and multifractal unidimensional random field, as a probabilistic representation of Kolmogorov's views on turbulence

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