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Log-Euler’s gamma multifractal scenario for products of Ornstein-Uhlenbeck type processes

Anh, V. V., Leonenko, Nikolai N. and Shieh, N. 2008. Log-Euler’s gamma multifractal scenario for products of Ornstein-Uhlenbeck type processes. Mathematical Communications 13 (2) , 133 -148.

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Abstract

We investigate the properties of multifractal products of the exponential of Ornstein-Uhlenbeck processes driven by L´evy motion. The conditions on the mean, variance and covariance functions of these processes are interpreted in terms of the moment generating functions. We provide an illustrative example of Euler’s gamma distribution. We establish the corresponding log-Euler multifractal scenario for the limiting processes, including their R´enyi function and dependence structure. Key words: multifractal products, Ornstein-Uhlenbeck processes, L´evy processes, infinitely divisible distribution, Euler’s gamma distribution.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Subjects: Q Science > QA Mathematics
Publisher: Department of Mathematics, University of Osijek
ISSN: 1331-0623
Last Modified: 04 Jun 2017 03:14
URI: http://orca.cf.ac.uk/id/eprint/18741

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