Multifractal Random Walks With Fractional Brownian Motion via Malliavin Calculus

DOI10.1109/TIT.2013.2296785zbMath1360.94069arXiv1209.4717OpenAlexW2056243737MaRDI QIDQ2986519

Alexis Fauth, Ciprian A. Tudor

Publication date: 16 May 2017

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1209.4717

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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