CONSTRUCTION OF MULTIFRACTAL FRACTIONAL RANDOM WALKS WITH HURST INDEX SMALLER THAN 1/2

DOI10.1142/S0219493713500032zbMath1279.60050MaRDI QIDQ2862998

Nicolas Perpète

Publication date: 20 November 2013

Published in: Stochastics and Dynamics (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motionscaling propertiesmultifractal random walksinfinitely divisible cascades

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Other physical applications of random processes (60K40) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Related Items (1)

On a skewed and multifractal unidimensional random field, as a probabilistic representation of Kolmogorov's views on turbulence

Cites Work

• The infinite number of generalized dimensions of fractals and strange attractors
• Continuous cascade models for asset returns
• \(L^p\)-variations for multifractal fractional random walks
• Log-infinitely divisible multifractal processes
• Lognormal \(\star\)-scale invariant random measures
• KPZ formula for log-infinitely divisible multifractal random measures
• Multifractal Random Walks as Fractional Wiener Integrals

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