ON THE STOCHASTIC DEPENDENCE STRUCTURE OF THE LIMIT LOGNORMAL PROCESS

DOI10.1142/S0129055X11004242zbMath1239.60037MaRDI QIDQ3007727

Dmitrii M. Ostrovskii

Publication date: 17 June 2011

Published in: Reviews in Mathematical Physics (Search for Journal in Brave)

zbMATH Keywords

intermittency differentiationextension of the Selberg integraljoint integral momentslognormal process

Mathematics Subject Classification ID

Gaussian processes (60G15) Two-dimensional field theories, conformal field theories, etc. in quantum mechanics (81T40) Statistical turbulence modeling (76F55) Random measures (60G57)

Related Items (5)

Fractional Feynman-Kac equation with space-dependent anomalous exponent ⋮ Counting function fluctuations and extreme value threshold in multifractal patterns: the case study of an ideal \(1/f\) noise ⋮ A theory of intermittency differentiation of 1D infinitely divisible multiplicative chaos measures ⋮ A note on moments of limit log-infinitely divisible stochastic measures of Bacry and Muzy ⋮ A review of conjectured laws of total mass of Bacry–Muzy GMC measures on the interval and circle and their applications

Cites Work

• Mellin transform of the limit lognormal distribution
• On the limit lognormal and other limit log-infinitely divisible laws
• Functional Feynman-Kac equations for limit lognormal multifractals
• KPZ in one dimensional random geometry of multiplicative cascades
• Log-infinitely divisible multifractal processes
• Multifractal products of cylindrical pulses
• Intermittency expansions for limit lognormal multifractals
• The importance of the Selberg integral
• Modelling financial time series using multifractal random walks

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