Limit Theorems for Multifractal Products of Geometric Stationary Processes

Details Limit Theorems for Multifractal Products of Geometric Stationary Processes Limit Theorems for Multifractal Products of Geometric Stationary Processes

2011-10-11

arxiv.org/abs/1110.2428v1

Mathematics

Probability

48 pages

Scientific paper

We investigate the properties of multifractal products of geometric Gaussian processes with possible long-range dependence and geometric Ornstein-Uhlenbeck processes driven by L\'{e}vy motion and their finite and infinite superpositions. We present the general conditions for the $\mathcal{% L}_{q}$ convergence of cumulative processes to the limiting processes and investigate their $q$-th order moments and R\'{e}nyi functions, which are nonlinear, hence displaying the multifractality of the processes as constructed. We also establish the corresponding scenarios for the limiting processes, such as log-normal, log-gamma, log-tempered stable or log-normal tempered stable scenarios.

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