Log-Infinitely Divisible Multifractal Processes
نویسندگان
چکیده
منابع مشابه
Log-infinitely divisible multifractal processes
We define a large class of multifractal random measures and processes with arbitrary loginfinitely divisible exact or asymptotic scaling law. These processes generalize within a unified framework both the recently defined log-normal Multifractal Random Walk processes (MRW) [33, 3] and the log-Poisson “product of cynlindrical pulses” [7]. Their construction involves some “continuous stochastic m...
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We consider the continuous model of log-infinitely divisible multifractal random measures (MRM) introduced in [1]. If M is a non degenerate multifractal measure with associated metric ρ(x, y) = M([x, y]) and structure function ζ , we show that we have the following relation between the (Euclidian) Hausdorff dimension dimH of a measurable set K and the Hausdorff dimension dimρH with respect to ρ...
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We define a large class of continuous time multifractal random measures and processes with arbitrary log infinitely divisible exact or asymptotic scaling law. These processes generalize within a unified framework both the recently defined log-normal multifractal random walk [J.F. Muzy, J. Delour, and E. Bacry, Eur. J. Phys. B 17, 537 (2000), E. Bacry, J. Delour, and J.F. Muzy, Phys. Rev. E 64, ...
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ژورنال
عنوان ژورنال: Communications in Mathematical Physics
سال: 2003
ISSN: 0010-3616,1432-0916
DOI: 10.1007/s00220-003-0827-3