Superposition of Diffusions with Linear Generator and its Multifractal Limit Process
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- A Multivariate Gamma-Type Distribution
- A multifractal wavelet model with application to network traffic
- A theory of the term structure of interest rates
- An Introduction to Polyspectra
- Approximation of some processes
- Bessel diffusions as a one-parameter family of diffusion processes
- Bilinear stochastic models and related problems of nonlinear time series analysis. A frequency domain approach
- Bispectral analysis of traffic in high-speed networks
- Classical diffusion processes and total positivity
- Forecasting multifractal volatility
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- Fractional Brownian motion and the Markov property
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- LONG-RANGE DEPENDENCE, NON-LINEARITY AND TIME IRREVERSIBILITY
- Long memory relationships and the aggregation of dynamic models
- Long-Run Linearity, Locally Gaussian Process, H-Spectra and Infinite Variances
- Long-range dependence through gamma-mixed Ornstein-Uhlenbeck process
- On stochastic differential equations characterizing some singular diffusion processes
- On the Distribution of the Integrated Square of the Ornstien–Uhlenbeck Process
- On the uniqueness of solutions of stochastic differential equations
- Point process models for self-similar network traffic, with applications
- Remarks on a Multivariate Gamma Distribution
- Self-Similar Probability Distributions
- Superposition of Ornstein-Uhlenbeck type processes
- The equivalence of the Cox process with squared radial Ornstein-Uhlenbeck intensity and the death process in a simple population model
- The multifractal nature of Lévy processes
- Two singular diffusion problems
- Über die analytischen Methoden in der Wahrscheinlichkeitsrechnung
Cited in
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- Log-normal, log-gamma and log-negative inverted gamma scenarios in multifractal products of stochastic processes
- Renormalization group of and convergence to the LISDLG process
- Singular properties of high-order spectral densities of supOU processes
- Intermittency of superpositions of Ornstein-Uhlenbeck type processes
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