Cardiff University | Prifysgol Caerdydd ORCA
Online Research @ Cardiff 
WelshClear Cookie - decide language by browser settings

Multifractal scenarios for products of geometric Levy-based stationary models

Denisov, Denis and Leonenko, Nikolai ORCID: https://orcid.org/0000-0003-1932-4091 2016. Multifractal scenarios for products of geometric Levy-based stationary models. Stochastic Analysis and Applications 34 (4) , pp. 610-643. 10.1080/07362994.2016.1164606

[thumbnail of SAA_final.pdf]
Preview
PDF - Accepted Post-Print Version
Download (440kB) | Preview

Abstract

We investigate the properties of multifractal products of geometric Gaussian processes with possible long-range dependence and geometric Ornstein–Uhlenbeck processes driven by Lévy motion and their finite and infinite superpositions. We construct the multifractal, such as log-gamma, log-tempered stable, or log-normal tempered stable scenarios.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Subjects: Q Science > QA Mathematics
Publisher: Taylor and Francis
ISSN: 0736-2994
Date of First Compliant Deposit: 22 April 2016
Date of Acceptance: 20 March 2016
Last Modified: 07 Nov 2023 00:04
URI: https://orca.cardiff.ac.uk/id/eprint/89613

Citation Data

Cited 1 time in Scopus. View in Scopus. Powered By Scopus® Data

Actions (repository staff only)

Edit Item Edit Item

Downloads

Downloads per month over past year

View more statistics