Functional Feynman-Kac equations for limit lognormal multifractals

DOI10.1007/S10955-007-9315-ZzbMATH Open1115.82026OpenAlexW2093019518MaRDI QIDQ996850FDOQ996850

Authors: D. Ostrovski 

Publication date: 19 July 2007

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10955-007-9315-z

Recommendations

• On the limit lognormal and other limit log-infinitely divisible laws
• Limit lognormal multifractal as an exponential functional
• Log-infinitely divisible multifractal processes
• On the stochastic dependence structure of the limit lognormal process
• Intermittency expansions for limit lognormal multifractals

zbMATH Keywords

long-range dependenceintermittencymultifractalsSelberg integralFeynman-KacSDSI

Mathematics Subject Classification ID

Fractals (28A80) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Statistical turbulence modeling (76F55)

Cites Work

• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Title not available (Why is that?)
• Title not available (Why is that?)
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Title not available (Why is that?)
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Title not available (Why is that?)
• Title not available (Why is that?)
• Intermittent turbulence in self-similar cascades: divergence of high moments and dimension of the carrier
• Title not available (Why is that?)
• Log-infinitely divisible multifractal processes
• Modelling financial time series using multifractal random walks
• On Non-Scale-Invariant Infinitely Divisible Cascades
• Title not available (Why is that?)
• Positive martingales and random measures
• Title not available (Why is that?)
• Title not available (Why is that?)
• Multifractal Cascade Dynamics and Turbulent Intermittency
• Multifractal products of cylindrical pulses
• Title not available (Why is that?)
• On Dufresne's relation between the probability laws of exponential functionals of Brownian motions with different drifts
• The multifractal nature of turbulent energy dissipation
• Limit lognormal multifractal as an exponential functional

Cited In (8)

• On the limit lognormal and other limit log-infinitely divisible laws
• On the stochastic dependence structure of the limit lognormal process
• A theory of intermittency differentiation of 1D infinitely divisible multiplicative chaos measures
• Intermittency expansions for limit lognormal multifractals
• Mellin transform of the limit lognormal distribution
• Limit lognormal multifractal as an exponential functional
• A review of conjectured laws of total mass of Bacry-Muzy GMC measures on the interval and circle and their applications
• Fractional Feynman-Kac equation with space-dependent anomalous exponent

This page was built for publication: Functional Feynman-Kac equations for limit lognormal multifractals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q996850)