Taufer, Emanuele; Leonenko, Nikolai; Petherick, EStuart - Dipartimento di Informatica e Studi Aziendali, … - 2012
This paper reviews a class of multifractal models obtained via products of exponential Ornstein-Uhlenbeck processes driven by L«evy motion. Given a self-decomposable distribution, conditions for constructiong multifractal scenarios and general formulas for their Renyi functions are provided....