Original scientific paper
Log-Euler's gamma multifractal scenario for products of Ornstein-Uhlenbeck type processes
Vo V. Anh
; School of Mathematical Sciences, Queensland University of Technology, Brisbane, Australia
Nikolai N. Leonenko
; Cardiff School of Mathematics, Cardiff University, Cardiff, UK,
Narn-Rueih Shieh
; Department of Mathematics, National Taiwan University, Taipei, Taiwan
Abstract
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.
Keywords
multifractal products; Ornstein-Uhlenbeck processes; Lévy processes; infinitely divisible distribution; Euler's gamma distribution
Hrčak ID:
30882
URI
Publication date:
23.12.2008.
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