Multifractal scenarios for products of geometric Lévy-based stationary models

DOI10.1080/07362994.2016.1164606zbMath1342.60075OpenAlexW2416389863MaRDI QIDQ3185980

Denis Denisov, Nikolai N. Leonenko

Publication date: 8 August 2016

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: http://orca.cf.ac.uk/89613/1/SAA_final.pdf

zbMATH Keywords

Lévy processeslong-range dependencestationary processesshort-range dependencesuperpositionsmultifractal productsgeometric Ornstein-Uhlenbeck processesRényi function\(\log\) normal tempered stable scenario\(\log\)-gamma scenario\(\log\)-normal scenario\(\log\)-variance gamma scenariogeometric Gaussian processmultifractal scenariosscaling of moments

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Sample path properties (60G17) Random measures (60G57)

Related Items

Limit theorems for multifractal products of geometric stationary processes

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