Log-Eulers gamma multifractal scenario for products of Ornstein-Uhlenbeck type processesReport as inadecuate




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Mathematical Communications, Vol.13 No.2 December 2008. -

We investigate the properties of multifractal products of the exponential of Ornstein-Uhlenbeck processes driven by Lévy 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 Rényi function and dependence structure.

multifractal products; Ornstein-Uhlenbeck processes; Lévy processes; infinitely divisible distribution; Euler-s gamma distribution



Author: Vo V. Anh - ; School of Mathematical Sciences, Queensland University of Technology, Brisbane, Australia Nikolai N. Leonenko - ; C

Source: http://hrcak.srce.hr/



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