Superposition of Diffusions with Linear Generator and its Multifractal Limit Process
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Publication:4709879
DOI10.1051/ps:2003008zbMath1017.60087MaRDI QIDQ4709879
Publication date: 23 June 2003
Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)
Full work available at URL: http://www.numdam.org/item?id=PS_2003__7__23_0
self-similarity; superposition; stationarity; diffusion processes; fractals; long range dependence; bispectrum; square root process; network traffic; CIR processes; higher order statistics; DLG process
60G10: Stationary stochastic processes
93E12: Identification in stochastic control theory
60J60: Diffusion processes
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
Related Items
Renormalization group of and convergence to the LISDLG process, Intermittency of superpositions of Ornstein-Uhlenbeck type processes, Log-normal, log-gamma and log-negative inverted gamma scenarios in multifractal products of stochastic processes, Statistical inference using higher-order information
Uses Software
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