Limit theorems for multifractal products of geometric stationary processes

DOI10.3150/15-BEJ738zbMATH Open1343.60030arXiv1110.2428OpenAlexW1633630589MaRDI QIDQ726752FDOQ726752

Nikolai N. Leonenko, Denis E. Denisov

Publication date: 14 July 2016

Published in: Bernoulli (Search for Journal in Brave)

Abstract: We investigate the properties of multifractal products of geometric Gaussian processes with possible long-range dependence and geometric Ornstein-Uhlenbeck processes driven by L'{e}vy motion and their finite and infinite superpositions. We present the general conditions for the $L_q$ convergence of cumulative processes to the limiting processes and investigate their $q$-th order moments and R'{e}nyi functions, which are nonlinear, hence displaying the multifractality of the processes as constructed. We also establish the corresponding scenarios for the limiting processes, such as log-normal, log-gamma, log-tempered stable or log-normal tempered stable scenarios.

Full work available at URL: https://arxiv.org/abs/1110.2428

Recommendations

• Multifractality of products of geometric Ornstein-Uhlenbeck-type processes
• Multifractal scenarios for products of geometric Lévy-based stationary models
• Log-normal, log-gamma and log-negative inverted gamma scenarios in multifractal products of stochastic processes
• Multifractal Products of Stationary Diffusion Processes
• Log-infinitely divisible multifractal processes

zbMATH Keywords

long-range dependence[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+processes&go=Go L��vy processes]stationary processeslimit theoremsshort-range dependencesuperpositionsmultifractal productsgeometric Gaussian processesgeometric Ornstein-Uhlenbeck processes[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=R%EF%BF%BD%EF%BF%BDnyi+function&go=Go R��nyi function]

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Gaussian processes (60G15) Diffusion processes (60J60) Stationary stochastic processes (60G10) Functional limit theorems; invariance principles (60F17) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) (L^p)-limit theorems (60F25)

Cites Work

• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• The multifractal nature of Lévy processes
• Processes of normal inverse Gaussian type
• Introductory lectures on fluctuations of Lévy processes with applications.
• Title not available (Why is that?)
• Techniques in fractal geometry
• Multifractality of products of geometric Ornstein-Uhlenbeck-type processes
• Title not available (Why is that?)
• A refinement of previous hypotheses concerning the local structure of turbulence in a viscous incompressible fluid at high Reynolds number
• Title not available (Why is that?)
• Forecasting multifractal volatility
• On the multifractal spectrum of the branching measure on a Galton–Watson tree
• Log-infinitely divisible multifractal processes
• Title not available (Why is that?)
• Multifractal Products of Stationary Diffusion Processes
• Positive martingales and random measures
• Multifractal Cascade Dynamics and Turbulent Intermittency
• Multifractal products of cylindrical pulses
• Dynamics of Mandelbrot cascades
• \(L^p\)-variations for multifractal fractional random walks
• Title not available (Why is that?)
• On exact scaling log-infinitely divisible cascades
• Multifractal scenarios for products of geometric Lévy-based stationary models
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the exponentials of fractional Ornstein-Uhlenbeck processes
• Multifractal spectra of branching measure on a Galton-Watson tree
• Multifractal products of stochastic processes: construction and some basic properties
• Multifractal scaling of products of birth-death processes
• Limit theorems for multifractal products of geometric stationary processes
• Convergence of complex multiplicative cascades
• Rényi function for multifractal random fields
• Simulation of multifractal products of Ornstein–Uhlenbeck type processes
• Log-Euler's gamma multifractal scenario for products of Ornstein-Uhlenbeck type processes
• Log-normal, log-gamma and log-negative inverted gamma scenarios in multifractal products of stochastic processes

Cited In (7)

• Multifractal products of stochastic processes: construction and some basic properties
• Multifractal Products of Stationary Diffusion Processes
• Multifractal analysis of infinite products of stationary jump processes
• Limit theorems for multifractal products of geometric stationary processes
• Log-Euler's gamma multifractal scenario for products of Ornstein-Uhlenbeck type processes
• BOUNDS ON THE SUPPORT OF THE MULTIFRACTAL SPECTRUM OF STOCHASTIC PROCESSES
• Multifractality of products of geometric Ornstein-Uhlenbeck-type processes

This page was built for publication: Limit theorems for multifractal products of geometric stationary processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q726752)