L^p-variations for multifractal fractional random walks

DOI10.1214/07-AAP483zbMATH Open1154.60029arXiv0806.2731OpenAlexW2091530834MaRDI QIDQ930681FDOQ930681

Authors: Carenne Ludeña 

Publication date: 1 July 2008

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: A multifractal random walk (MRW) is defined by a Brownian motion subordinated by a class of continuous multifractal random measures $M[0,t],0letle1$. In this paper we obtain an extension of this process, referred to as multifractal fractional random walk (MFRW), by considering the limit in distribution of a sequence of conditionally Gaussian processes. These conditional processes are defined as integrals with respect to fractional Brownian motion and convergence is seen to hold under certain conditions relating the self-similarity (Hurst) exponent of the fBm to the parameters defining the multifractal random measure $M$. As a result, a larger class of models is obtained, whose fine scale (scaling) structure is then analyzed in terms of the empirical structure functions. Implications for the analysis and inference of multifractal exponents from data, namely, confidence intervals, are also provided.

Full work available at URL: https://arxiv.org/abs/0806.2731

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zbMATH Keywords

fractional Brownian motionlinearization effect\(L^p\)-variationsmultifractal random measuresmultifractal random walksscaling phenomena

Mathematics Subject Classification ID

Point estimation (62F10) Gaussian processes (60G15) Central limit and other weak theorems (60F05) Self-similar stochastic processes (60G18) Other physical applications of random processes (60K40)

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Cited In (20)

• Estimating the scaling function of multifractal measures and multifractal random walks using ratios
• Degree distributions of the visibility graphs mapped from fractional Brownian motions and multifractal random walks
• Difference based estimators and infill statistics
• Multifractal scenarios for products of geometric Lévy-based stationary models
• Construction of multifractal fractional random walks with Hurst index smaller than \(1/2\)
• Quantitative Breuer-Major theorems
• Uniform convergence for complex [0,1]-martingales
• Multifractal random walk in copepod behavior
• Continuous-time skewed multifractal processes as a model for financial returns
• Singularity spectrum of generic \(\alpha \)-Hölder regular functions after time subordination
• Limit theorems for multifractal products of geometric stationary processes
• Confidence intervals for the scaling function of multifractal random walks
• Log-infinitely divisible multifractal processes
• Modelling financial time series using multifractal random walks
• BOUNDS ON THE SUPPORT OF THE MULTIFRACTAL SPECTRUM OF STOCHASTIC PROCESSES
• \(L^p\) uniform random walk-type approximation for fractional Brownian motion with Hurst exponent \(0 < H < \frac{1}{2} \)
• Testing the type of a semi-martingale: Itō against multifractal
• Convergence of complex multiplicative cascades
• On the estimation of the large deviations spectrum
• Convergence of the structure function of a multifractal random walk in a mixed asymptotic setting

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