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The Hausdorff spectrum for a class of multifractal processes

Abstract:

The Multifractal Embedded Branching Process (MEBP) process and Canonical Embedded Branching Process (CEBP) process were introduced by Decrouez and Jones (2012). The CEBP is a process in which the crossings of dyadic intervals constitute a branching process. An MEBP process is defined as a multifractal time-change of a CEBP process, where the time-change is such that both it and the CEBP can be simulated on-line. In this paper, under various moment conditions, we show that CEBP processes have ...

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Publication status:
Published
Peer review status:
Peer reviewed
Version:
Accepted manuscript

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Publisher copy:
10.1016/j.spa.2014.11.007

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Department:
St Annes College
Decrouez, G More by this author
Publisher:
Elsevier Publisher's website
Journal:
Stochastic Processes and their Applications Journal website
Volume:
125
Issue:
4
Pages:
1541-1568
Acceptance date:
2014-11-15
DOI:
EISSN:
1879-209X
ISSN:
0304-4149
Pubs id:
pubs:731276
URN:
uri:67cee3bd-2728-4b1f-ae41-4bd575aa8996
UUID:
uuid:67cee3bd-2728-4b1f-ae41-4bd575aa8996
Local pid:
pubs:731276

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