Multifractal analysis of Lévy fields

2010/05/17 by Arnaud Durand, Durand, Arnaud, Stéphane Jaffard +1
Economics, Econometrics and Finance · Mathematics · #Complex Systems and Time Series Analysis #FOS: Mathematics #Mathematical Dynamics and Fractals #Probability (math.PR) #Stochastic processes and financial applications #math.PR

paper · pdf · doi:10.48550/arxiv.1005.2893

37 pages

arxiv created 2010/05/17 · openalex publication_date 2010/05/17 · arxiv updated 2010/05/18 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We study the pointwise regularity properties of the Lévy fields introduced by T. Mori; these fields are the most natural generalization of Lévy processes to the multivariate setting. We determine their spectrum of singularities, and we show that their Hölder singularity sets satisfy a large intersection property in the sense of K. Falconer.

Citations

• Fractal Geometry: Mathematical Foundations and Applications.

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