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

DOI10.1142/S0219493713500032MaRDI QIDQ2862998zbMATH OpenFDO

Authors Nicolas Perpète

Publication date 20 November 2013

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

Full work available at URL https://doi.org/10.1142/S0219493713500032

zbMATH Keywords

fractional Brownian motioninfinitely divisible cascadesmultifractal random walksscaling properties

Mathematics Subject Classification ID

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

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Cites work

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

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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