Intermittency and multiscaling in limit theorems

DOI10.1142/S0218348X22501377MaRDI QIDQ5046646zbMATH OpenWikidataFDO

Authors Danijel Grahovac, Murad S. Taqqu, Nikolai N. Leonenko

Publication date 9 November 2022

Published in Fractals (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2104.06006

zbMATH Keywords

large deviationslimit theoremsintermittencyconvergence of momentsmultiscaling

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Stable stochastic processes (60G52)

Abstract: It has been recently discovered that some random processes may satisfy limit theorems even though they exhibit intermittency, namely an unusual growth of moments. In this paper we provide a deeper understanding of these intricate limiting phenomena. We show that intermittent processes may exhibit a multiscale behavior involving growth at different rates. To these rates correspond different scales. In addition to a dominant scale, intermittent processes may exhibit secondary scales. The probability of these scales decreases to zero as a power function of time. For the analysis, we consider large deviations of the rate of growth of the processes. Our approach is quite general and covers different possible scenarios with special focus on the so-called supOU processes.

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Cited in

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• Discrete scale-free distributions and associated limit theorems
• Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes
• Intermittency in the small-time behavior of Lévy processes
• Intermittency expansions for limit lognormal multifractals
• Intermittency phenomena for mass distributions of stochastic flows with interaction

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