Limit theorems for multifractal products of geometric stationary processes

DOI10.3150/15-BEJ738MaRDI QIDQ726752zbMATHOpenAlexFDO

Authors Denis E. Denisov, Nikolai N. Leonenko

Publication date 14 July 2016

Published in Bernoulli (Search for Journal in Brave)

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

zbMATH Keywords

long-range dependencestationary processeslimit theoremsshort-range dependencesuperpositionsmultifractal productsgeometric Gaussian processesgeometric Ornstein-Uhlenbeck processesLévy processesRényi 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)

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.

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Cited in

(11)

• Multifractality of products of geometric Ornstein-Uhlenbeck-type processes
• BOUNDS ON THE SUPPORT OF THE MULTIFRACTAL SPECTRUM OF STOCHASTIC PROCESSES
• Log-normal, log-gamma and log-negative inverted gamma scenarios in multifractal products of stochastic processes
• Limit theorems for multifractal products of random fields
• Limit theorems for multifractal products of geometric stationary processes
• Intermittency and multiscaling in limit theorems
• Multifractal scenarios for products of geometric Lévy-based stationary models
• Multifractal analysis of infinite products of stationary jump processes
• Multifractal Products of Stationary Diffusion Processes
• Log-Euler's gamma multifractal scenario for products of Ornstein-Uhlenbeck type processes
• Multifractal products of stochastic processes: construction and some basic properties

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