Multifractional, multistable, and other processes with prescribed local form

K. J. Falconer; J. Levy Vehel

doi:10.1007/s10959-008-0147-9

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arXiv · 0802.0645

Multifractional, multistable, and other processes with prescribed local form

K. J. Falconer·J. Levy Vehel

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Abstract

We present a general method for constructing stochastic processes with prescribed local form. Such processes include variable amplitude multifractional Brownian motion, multifractional $α$-stable processes, and multistable processes, that is processes that are locally $α(t)$-stable but where the stability index $α(t)$ varies with $t$. In particular we construct multifractional multistable processes where both the local self-similarity and stability indices vary.

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BibTeX RIS

K. J. Falconer, J. Levy Vehel. 2008-02-05. Multifractional, multistable, and other processes with prescribed local form. https://doi.org/10.1007/s10959-008-0147-9

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