Related papers: Multifractal Formalism from Large Deviations

We build a multifractal object and use it as a support to study percolation. We identify some differences between percolation in a multifractal and in a regular lattice. We use many samples of finite size lattices and draw the histogram of…

This article fits in many studies of multifractal analysis of measure. We took as a starting point the work of F. Ben Nasr in " Calculs de dimension de packing " to give a new inequality involving $Dim(\bar{X}^{\alpha})$ which would be, in…

Uniform large deviation principles for positive functionals of all equivalent types of infinite dimensional Brownian motions acting together with a Poisson random measure are established. The core of our approach is a variational…

This paper studies large deviation principles and weak convergence, both at the level of finite-dimensional distributions and in functional form, for a class of continuous, isotropic, centered Gaussian random fields defined on the unit…

In this paper we discuss the problem of the estimation of extreme event occurrence probability for data drawn from some multifractal process. We also study the heavy (power-law) tail behavior of probability density function associated with…

Let $X$ be a L\'evy process with regularly varying L\'evy measure $\nu$. We obtain sample-path large deviations for scaled processes $\bar X_n(t) \triangleq X(nt)/n$ and obtain a similar result for random walks. Our results yield detailed…

Multifractal processes are a relatively new tool of stock market analysis. Their power lies in the ability to take multiple orders of autocorrelations into account explicitly. In the first part of the paper we discuss the framework of the…

Multifractal analysis studies level sets of asymptotically defined quantities in a topological dynamical system. We consider the topological pressure function on such level sets, relating it both to the pressure on the entire phase space…

We consider two Ito equations that evolve on different time scales. The equations are fully coupled in the sense that all coefficients may depend on both the "slow" and the "fast" processes and the diffusion terms may be correlated. The…

We consider large deviations of empirical measures of diffusion processes. In a first part, we present conditions to obtain a large deviations principle (LDP) for a precise class of unbounded functions. This provides an analogue to the…

We use a weak Gibbs property and a weak form of specification to derive level-2 large deviations principles for symbolic systems equipped with a large class of reference measures. This has applications to a broad class of symbolic systems,…

The aim of this paper is to investigate the large deviations for a class of slow-fast mean-field diffusions, which extends some existing results to the case where the laws of fast process are also involved in the slow component. Due to the…

We refine the conditions for the lower bound in an abstract large deviation result with nonconvex rate function we had previously introduced. We apply the results to certain stochastic recursive schemes.

In this paper we introduce the concept of \emph{multivector functionals.} We study some possible kinds of derivative operators that can act in interesting ways on these objects such as, e.g., the $A$-directional derivative and the…

By adopting Multifractal detrended fluctuation (MF-DFA) analysis methods, the multifractal nature is revealed in the high-frequency data of two typical indexes, the Shanghai Stock Exchange Composite 180 Index (SH180) and the Shenzhen Stock…

We compute the Hausdorff multifractal spectrum of two versions of multistable L{\'e}vy motions. These processes extend classical L{\'e}vy motion by letting the stability exponent $\alpha$ evolve in time. The spectra provide a decomposition…

We determine the Renyi entropies K_q of symbol sequences generated by human chromosomes. These exhibit nontrivial behaviour as a function of the scanning parameter q. In the thermodynamic formalism, there are phase transition-like phenomena…

In this paper we study the derived sets for the rational deformations of multiple zeta-star values. By using the theory of bounded variation functions, we will give function decompositions which describe the metric structure of the derived…

This contribution addresses the question commonly asked in scientific literature about the sources of multifractality in time series. Two primary sources are typically considered. These are temporal correlations and heavy tails in the…

Processes occurring in real open systems are far from equilibrium state and they can lead to synergetic effects, which are caused by coordinated behavior of system units. Traditional methods of analysis often just establish such behavior,…