2020
DOI: 10.1016/j.chaos.2020.109735
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Multifractal processes: Definition, properties and new examples

Abstract: We investigate stochastic processes possessing scale invariance properties which we refer to as multifractal processes. The examples of such processes known so far do not go much beyond the original cascade construction of Mandelbrot. We provide a new definition of the multifractal process by generalizing the definition of the selfsimilar process. We establish general properties of these processes and show how existing examples fit into our setting. Finally, we define a new class of examples inspired by the id… Show more

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Cited by 4 publications
(1 citation statement)
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“…The notion applies to any signal s(x) or random process (X t ) t≥0 with values in R d displaying a multiscale behavior (i.e., a nonlinear scaling of moments X(t) q = c(q)t ξ(q) for a nonlinear mapping q → ξ(q)) or to even more general multifractal random processes (Grahovac 2020). As we see in Sect.…”
Section: Canonical and Microcanonical Approaches To Multifractalitymentioning
confidence: 99%
“…The notion applies to any signal s(x) or random process (X t ) t≥0 with values in R d displaying a multiscale behavior (i.e., a nonlinear scaling of moments X(t) q = c(q)t ξ(q) for a nonlinear mapping q → ξ(q)) or to even more general multifractal random processes (Grahovac 2020). As we see in Sect.…”
Section: Canonical and Microcanonical Approaches To Multifractalitymentioning
confidence: 99%