The multiplicative chaos of \(H=0\) fractional Brownian fields

DOI10.1214/21-AAP1730zbMath1503.60046arXiv2008.01385OpenAlexW3047304064MaRDI QIDQ2170373

Eyal Neuman, Paul Hager

Publication date: 5 September 2022

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

Full work available at URL: https://arxiv.org/abs/2008.01385

zbMATH Keywords

fractional Brownian fieldsGaussian multiplicative chaosmultifractal random walklog-correlated Gaussian fieldsrough volatility

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Random measures (60G57) Self-similar stochastic processes (60G18)

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