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Multifractal Products of Stationary Diffusion Processes

Anh, Vo V., Leonenko, Nikolai N. and Shieh, Narn-Rueih 2009. Multifractal Products of Stationary Diffusion Processes. Stochastic Analysis and Applications 27 (3) , pp. 475-499. 10.1080/07362990802679091

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Abstract

We investigate the properties of multifractal products of the exponential of stationary diffusion processes defined by stochastic differential equations with linear drift and certain form of the diffusion coefficient corresponding to a variety of marginal distributions. The conditions on the mean, variance and covariance functions of these processes are interpreted in terms of the moment generating functions. We provide three illustrative examples of normal, gamma and beta distributions. We establish the corresponding lognormal, log-gamma and log-beta scenarios for the limiting processes, including their Rényi functions and dependence structure.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Subjects: Q Science > QA Mathematics
Uncontrolled Keywords: Multifractal products, Multifractal spectrum, Rényi function, Stationary diffusion
Publisher: Taylor and Francis
ISSN: 0736-2994
Last Modified: 04 Jun 2017 02:55
URI: http://orca.cf.ac.uk/id/eprint/13907

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