ON THE STOCHASTIC DEPENDENCE STRUCTURE OF THE LIMIT LOGNORMAL PROCESS
From MaRDI portal
Publication:3007727
DOI10.1142/S0129055X11004242zbMath1239.60037MaRDI QIDQ3007727
Publication date: 17 June 2011
Published in: Reviews in Mathematical Physics (Search for Journal in Brave)
intermittency differentiationextension of the Selberg integraljoint integral momentslognormal process
Gaussian processes (60G15) Two-dimensional field theories, conformal field theories, etc. in quantum mechanics (81T40) Statistical turbulence modeling (76F55) Random measures (60G57)
Related Items (5)
Fractional Feynman-Kac equation with space-dependent anomalous exponent ⋮ Counting function fluctuations and extreme value threshold in multifractal patterns: the case study of an ideal \(1/f\) noise ⋮ A theory of intermittency differentiation of 1D infinitely divisible multiplicative chaos measures ⋮ A note on moments of limit log-infinitely divisible stochastic measures of Bacry and Muzy ⋮ A review of conjectured laws of total mass of Bacry–Muzy GMC measures on the interval and circle and their applications
Cites Work
- Mellin transform of the limit lognormal distribution
- On the limit lognormal and other limit log-infinitely divisible laws
- Functional Feynman-Kac equations for limit lognormal multifractals
- KPZ in one dimensional random geometry of multiplicative cascades
- Log-infinitely divisible multifractal processes
- Multifractal products of cylindrical pulses
- Intermittency expansions for limit lognormal multifractals
- The importance of the Selberg integral
- Modelling financial time series using multifractal random walks
This page was built for publication: ON THE STOCHASTIC DEPENDENCE STRUCTURE OF THE LIMIT LOGNORMAL PROCESS
