Multifractal scenarios for products of geometric Lévy-based stationary models

Denis Denisov; N. N. Leonenko

doi:10.1080/07362994.2016.1164606

Multifractal scenarios for products of geometric Lévy-based stationary models

Denis Denisov, N. N. Leonenko

Cardiff University

Research output: Contribution to journal › Article › peer-review

Abstract

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 language	English
Pages (from-to)	610-643
Number of pages	34
Journal	Stochastic Analysis and Applications
Volume	34
Issue number	4
Early online date	31 May 2016
DOIs	https://doi.org/10.1080/07362994.2016.1164606
Publication status	Published - 3 Jul 2016

Keywords

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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10.1080/07362994.2016.1164606

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title = "Multifractal scenarios for products of geometric L{\'e}vy-based stationary models",

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 construct the multifractal, such as log-gamma, log-tempered stable, or log-normal tempered stable scenarios.",

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AU - Leonenko, N. N.

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AB - 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.

KW - Geometric Gaussian process

KW - Geometric Ornstein-Uhlenbeck processes

KW - Log normal tempered stable scenario

KW - Log-gamma scenario

KW - Log-normal scenario

KW - Log-variance gamma scenario

KW - Long-range dependence

KW - Lévy processes

KW - Multifractal products

KW - Multifractal scenarios

KW - Rényi function

KW - Scaling of moments

KW - Short-range dependence

KW - Stationary processes

KW - Superpositions

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SN - 0736-2994

VL - 34

SP - 610

EP - 643

JO - Stochastic Analysis and Applications

JF - Stochastic Analysis and Applications

IS - 4

ER -

Multifractal scenarios for products of geometric Lévy-based stationary models

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Keywords

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