Multifractional, Multistable, and Other Processes with Prescribed Local Form
Author
Abstract
Suggested Citation
DOI: 10.1007/s10959-008-0147-9
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Antoine Ayache & Jacques Vehel, 2000. "The Generalized Multifractional Brownian Motion," Statistical Inference for Stochastic Processes, Springer, vol. 3(1), pages 7-18, January.
- Kenneth J. Falconer, 2002. "Tangent Fields and the Local Structure of Random Fields," Journal of Theoretical Probability, Springer, vol. 15(3), pages 731-750, July.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Olivier Le Courtois, 2018. "Some Further Results on the Tempered Multistable Approach," Post-Print hal-02312142, HAL.
- Ronan Le Guével & Jacques Lévy Véhel & Lining Liu, 2015. "On Two Multistable Extensions of Stable Lévy Motion and Their Semi-martingale Representations," Journal of Theoretical Probability, Springer, vol. 28(3), pages 1125-1144, September.
- R. Guével, 2019. "The Hausdorff dimension of the range of the Lévy multistable processes," Journal of Theoretical Probability, Springer, vol. 32(2), pages 765-780, June.
- K. J. Falconer & J. Lévy Véhel, 2020. "Self-Stabilizing Processes Based on Random Signs," Journal of Theoretical Probability, Springer, vol. 33(1), pages 134-152, March.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Ayache, Antoine & Lévy Véhel, Jacques, 2004. "On the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 111(1), pages 119-156, May.
- Loosveldt, L., 2023. "Multifractional Hermite processes: Definition and first properties," Stochastic Processes and their Applications, Elsevier, vol. 165(C), pages 465-500.
- Garcin, Matthieu, 2017. "Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 462-479.
- Ran Wang & Yimin Xiao, 2022. "Exact Uniform Modulus of Continuity and Chung’s LIL for the Generalized Fractional Brownian Motion," Journal of Theoretical Probability, Springer, vol. 35(4), pages 2442-2479, December.
- Yu, Z.G. & Anh, V.V. & Wanliss, J.A. & Watson, S.M., 2007. "Chaos game representation of the Dst index and prediction of geomagnetic storm events," Chaos, Solitons & Fractals, Elsevier, vol. 31(3), pages 736-746.
- Dai, Hongshuai & Li, Yuqiang, 2010. "A weak limit theorem for generalized multifractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 80(5-6), pages 348-356, March.
- Cadoni, Marinella & Melis, Roberta & Trudda, Alessandro, 2017. "Pension funds rules: Paradoxes in risk control," Finance Research Letters, Elsevier, vol. 22(C), pages 20-29.
- Biermé, Hermine & Lacaux, Céline & Scheffler, Hans-Peter, 2011. "Multi-operator scaling random fields," Stochastic Processes and their Applications, Elsevier, vol. 121(11), pages 2642-2677, November.
- Mendy, Ibrahima, 2012. "The two-parameter Volterra multifractional process," Statistics & Probability Letters, Elsevier, vol. 82(12), pages 2115-2124.
- Antoine Ayache, 2013. "Continuous Gaussian Multifractional Processes with Random Pointwise Hölder Regularity," Journal of Theoretical Probability, Springer, vol. 26(1), pages 72-93, March.
- Surgailis, Donatas, 2008. "Nonhomogeneous fractional integration and multifractional processes," Stochastic Processes and their Applications, Elsevier, vol. 118(2), pages 171-198, February.
- M. D. Ruiz-Medina & V. V. Anh & R. M. Espejo & J. M. Angulo & M. P. Frías, 2015. "Least-Squares Estimation of Multifractional Random Fields in a Hilbert-Valued Context," Journal of Optimization Theory and Applications, Springer, vol. 167(3), pages 888-911, December.
- Angelini, Daniele & Bianchi, Sergio, 2023. "Nonlinear biases in the roughness of a Fractional Stochastic Regularity Model," Chaos, Solitons & Fractals, Elsevier, vol. 172(C).
- Frezza, Massimiliano, 2014. "Goodness of fit assessment for a fractal model of stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 66(C), pages 41-50.
- Ronan Le Guével & Jacques Lévy Véhel & Lining Liu, 2015. "On Two Multistable Extensions of Stable Lévy Motion and Their Semi-martingale Representations," Journal of Theoretical Probability, Springer, vol. 28(3), pages 1125-1144, September.
More about this item
Keywords
Stochastic process; Localisable; Multifractional; Multistable; Stable process;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:jotpro:v:22:y:2009:i:2:d:10.1007_s10959-008-0147-9. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.