Multifractality of products of geometric Ornstein-Uhlenbeck-type processes

DOI10.1239/AAP/1231340167zbMATH Open1181.60061OpenAlexW2105103300MaRDI QIDQ3603201FDOQ3603201

Nikolai N. Leonenko, Vo V. Anh, Narn-Rueih Shieh

Publication date: 16 February 2009

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1231340167

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zbMATH Keywords

long-range dependenceinfinitely divisible distributionmultifractal productsgeometric Ornstein-Uhlenbeck processLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stationary stochastic processes (60G10) Sample path properties (60G17) Self-similar stochastic processes (60G18)

Cites Work

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Cited In (15)

• Least-squares estimation of multifractional random fields in a Hilbert-valued context
• Multifractal scenarios for products of geometric Lévy-based stationary models
• Multifractal Products of Stationary Diffusion Processes
• Simultaneous Multifractal Analysis of the Branching and Visibility Measure on a Galton-Watson Tree
• Multifractal scaling of products of birth-death processes
• Multifractal analysis of infinite products of stationary jump processes
• Rényi function for multifractal random fields
• Limit theorems for multifractal products of geometric stationary processes
• On the exponential process associated with a CARMA-type process
• Log-Euler's gamma multifractal scenario for products of Ornstein-Uhlenbeck type processes
• Vector Stochastic Processes with Pólya‐Type Correlation Structure
• Random Fields with Multifractional Regularity Order on Heterogenous Fractal Domains
• Detecting multifractal stochastic processes under heavy-tailed effects
• FRACTAL GEOMETRY OF LÉVY-BASED SPATIAL-TEMPORAL RANDOM FIELDS
• Student'stVector Random Fields with Power-Law and Log-Law Decaying Direct and Cross Covariances

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