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)

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)

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Cites work

• 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
• \(L^p\)-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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