Multifractality of products of geometric Ornstein-Uhlenbeck-type processes

Autor:	V. V. Anh, Nikolai N. Leonenko, Narn-Rueih Shieh
Rok vydání:	2008
Předmět:	Statistics and Probability 010104 statistics & probability Applied Mathematics 0103 physical sciences 0101 mathematics 01 natural sciences 010305 fluids & plasmas
Zdroj:	Advances in Applied Probability. 40:1129-1156
ISSN:	1475-6064 0001-8678
DOI:	10.1017/s0001867800002998
Popis:	We investigate the properties of multifractal products of geometric Ornstein-Uhlenbeck (OU) processes driven by Lévy motion. The conditions on the mean, variance, and covariance functions of the resulting cumulative processes are interpreted in terms of the moment generating functions. We consider five cases of infinitely divisible distributions for the background driving Lévy processes, namely, the gamma and variance gamma distributions, the inverse Gaussian and normal inverse Gaussian distributions, and the z-distributions. We establish the corresponding scenarios for the limiting processes, including their Rényi functions and dependence structure.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::019b99f63514c407dc0d9fa64df33053 https://doi.org/10.1017/s0001867800002998 Zobrazit plný text záznamu