On the spectrum of multifractal diffusion process
Journal Article
·
· Journal of Experimental and Theoretical Physics
A quasi-multifractal model of stochastic processes is considered. In contrast to the more widely known multifractal random walk model, it is free of such substantial drawbacks as infinite variance of the modeled processes and time-dependent increments. An analysis of a multifractal diffusion-type process is presented, including the moments of increments and local scaling exponents of the process. A quasi-multifractal spectrum of the process is computed. A focus is on two new concepts in the theory of multifractal processes: effective scaling exponent and quasi-multifractal spectrum of a process.
- OSTI ID:
- 21075654
- Journal Information:
- Journal of Experimental and Theoretical Physics, Journal Name: Journal of Experimental and Theoretical Physics Journal Issue: 5 Vol. 105; ISSN JTPHES; ISSN 1063-7761
- Country of Publication:
- United States
- Language:
- English
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