hrcak mascot   Srce   HID

Izvorni znanstveni članak

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

Puni tekst: engleski, pdf (197 KB) str. 133-148 preuzimanja: 714* citiraj
APA 6th Edition
Anh, V.V., Leonenko, N.N. i Shieh, N. (2008). Log-Euler's gamma multifractal scenario for products of Ornstein-Uhlenbeck type processes. Mathematical Communications, 13 (2), 133-148. Preuzeto s https://hrcak.srce.hr/30882
MLA 8th Edition
Anh, Vo V., et al. "Log-Euler's gamma multifractal scenario for products of Ornstein-Uhlenbeck type processes." Mathematical Communications, vol. 13, br. 2, 2008, str. 133-148. https://hrcak.srce.hr/30882. Citirano 22.01.2021.
Chicago 17th Edition
Anh, Vo V., Nikolai N. Leonenko i Narn-Rueih Shieh. "Log-Euler's gamma multifractal scenario for products of Ornstein-Uhlenbeck type processes." Mathematical Communications 13, br. 2 (2008): 133-148. https://hrcak.srce.hr/30882
Harvard
Anh, V.V., Leonenko, N.N., i Shieh, N. (2008). 'Log-Euler's gamma multifractal scenario for products of Ornstein-Uhlenbeck type processes', Mathematical Communications, 13(2), str. 133-148. Preuzeto s: https://hrcak.srce.hr/30882 (Datum pristupa: 22.01.2021.)
Vancouver
Anh VV, Leonenko NN, Shieh N. Log-Euler's gamma multifractal scenario for products of Ornstein-Uhlenbeck type processes. Mathematical Communications [Internet]. 2008 [pristupljeno 22.01.2021.];13(2):133-148. Dostupno na: https://hrcak.srce.hr/30882
IEEE
V.V. Anh, N.N. Leonenko i N. Shieh, "Log-Euler's gamma multifractal scenario for products of Ornstein-Uhlenbeck type processes", Mathematical Communications, vol.13, br. 2, str. 133-148, 2008. [Online]. Dostupno na: https://hrcak.srce.hr/30882. [Citirano: 22.01.2021.]

Sažetak
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.

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

Hrčak ID: 30882

URI
https://hrcak.srce.hr/30882

Posjeta: 987 *