Displaying similar documents to “Renormalization group of and convergence to the LISDLG process”

Superposition of diffusions with linear generator and its multifractal limit process

End Iglói, György Terdik (2003)

ESAIM: Probability and Statistics

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In this paper a new multifractal stochastic process called Limit of the Integrated Superposition of Diffusion processes with Linear differencial Generator (LISDLG) is presented which realistically characterizes the network traffic multifractality. Several properties of the LISDLG model are presented including long range dependence, cumulants, logarithm of the characteristic function, dilative stability, spectrum and bispectrum. The model captures higher-order statistics by the cumulants....

Linear distribution processes.

Bel, L., Oppenheim, G., Robbiano, L., Viano, M.C. (1998)

Journal of Applied Mathematics and Stochastic Analysis

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Induced stationary process and structure of locally square integrable periodically correlated processes

Andrzej Makagon (1999)

Studia Mathematica

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A one-to-one correspondence between locally square integrable periodically correlated (PC) processes and a certain class of infinite-dimensional stationary processes is obtained. The correspondence complements and clarifies Gladyshev's known result [3] describing the correlation function of a continuous periodically correlated process. In contrast to Gladyshev's paper, the procedure for explicit reconstruction of one process from the other is provided. A representation of a PC process...

Density in small time for Lévy processes

Jean Picard (2010)

ESAIM: Probability and Statistics

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The density of real-valued Lévy processes is studied in small time under the assumption that the process has many small jumps. We prove that the real line can be divided into three subsets on which the density is smaller and smaller: the set of points that the process can reach with a finite number of jumps (Δ-accessible points); the set of points that the process can reach with an infinite number of jumps (asymptotically Δ-accessible points); and the set of points that the process...