Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/24532
Title: | Multifractality of jump diffusion processes |
Authors: | Yang, X |
Keywords: | Jump diffusions;Markov processes;Stochastic differential equations;Hausdorff dimensions;Multifractals |
Issue Date: | 1-Nov-2018 |
Publisher: | Institute of Mathematical Statistics |
Citation: | Xiaochuan Yang. "Multifractality of jump diffusion processes." Ann. Inst. H. Poincaré Probab. Statist. 54 (4) 2042 - 2074, November 2018. https://doi.org/10.1214/17-AIHP864 |
Abstract: | We study the local regularity and multifractal nature of the sample paths of jump diffusion processes, which are solutions to a class of stochastic differential equations with jumps. This article extends the recent work of Barral et al. who constructed a pure jump monotone Markov process with random multifractal spectrum. The class of processes studied here is much larger and exhibits novel features on the extreme values of the spectrum. This class includes Bass' stable-like processes and non-degenerate stable-driven SDEs. |
URI: | http://bura.brunel.ac.uk/handle/2438/24532 |
DOI: | http://dx.doi.org/10.1214/17-AIHP864 |
ISSN: | 0246-0203 |
Appears in Collections: | Dept of Mathematics Research Papers |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
FulltText.pdf | 404.96 kB | Adobe PDF | View/Open |
This item is licensed under a Creative Commons License