BOUNDS ON THE SUPPORT OF THE MULTIFRACTAL SPECTRUM OF STOCHASTIC PROCESSES

DOI10.1142/S0218348X1850055XzbMATH Open1433.28014arXiv1406.2920OpenAlexW2963264129MaRDI QIDQ4959965FDOQ4959965

Authors: Danijel Grahovac, Nikolai N. Leonenko 

Publication date: 7 April 2020

Published in: Fractals (Search for Journal in Brave)

Abstract: Multifractal analysis of stochastic processes deals with the fine scale properties of the sample paths and seeks for some global scaling property that would enable extracting the so-called spectrum of singularities. In this paper we establish bounds on the support of the spectrum of singularities. To do this, we prove a theorem that complements the famous Kolmogorov's continuity criterion. The nature of these bounds helps us identify the quantities truly responsible for the support of the spectrum. We then make several conclusions from this. First, specifying global scaling in terms of moments is incomplete due to possible infinite moments, both of positive and negative order. For the case of ergodic self-similar processes we show that negative order moments and their divergence do not affect the spectrum. On the other hand, infinite positive order moments make the spectrum nontrivial. In particular, we show that the self-similar stationary increments process with the nontrivial spectrum must be heavy-tailed. This shows that for determining the spectrum it is crucial to capture the divergence of moments. We show that the partition function is capable of doing this and also propose a robust variant of this method for negative order moments.

Full work available at URL: https://arxiv.org/abs/1406.2920

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zbMATH Keywords

multifractalself-similarspectrum of singularities

Mathematics Subject Classification ID

Fractals (28A80) Self-similar stochastic processes (60G18)

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Cited In (4)

• Multifractal processes: definition, properties and new examples
• Impact force and moment problems on random mass density fields with fractal and Hurst effects
• Sojourn time dimensions of fractional Brownian motion
• Intermittency of superpositions of Ornstein-Uhlenbeck type processes

Uses Software

• Digital Library of Mathematical Functions
• Multifractal

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