Multifractal scenarios for products of geometric Lévy-based stationary models

Denis Denisov, N. N. Leonenko

    Research output: Contribution to journalArticlepeer-review


    We investigate the properties of multifractal products of geometric Gaussian processes with possible long-range dependence and geometric Ornstein–Uhlenbeck processes driven by Lévy motion and their finite and infinite superpositions. We construct the multifractal, such as log-gamma, log-tempered stable, or log-normal tempered stable scenarios.

    Original languageEnglish
    Pages (from-to)610-643
    Number of pages34
    JournalStochastic Analysis and Applications
    Issue number4
    Early online date31 May 2016
    Publication statusPublished - 3 Jul 2016


    • Geometric Gaussian process
    • Geometric Ornstein-Uhlenbeck processes
    • Log normal tempered stable scenario
    • Log-gamma scenario
    • Log-normal scenario
    • Log-variance gamma scenario
    • Long-range dependence
    • Lévy processes
    • Multifractal products
    • Multifractal scenarios
    • Rényi function
    • Scaling of moments
    • Short-range dependence
    • Stationary processes
    • Superpositions


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