A class of multifractal processes constructed using an embedded branching process
Abstract
We present a new class of multifractal process on R, constructed using an embedded branching process. The construction makes use of known results on multitype branching random walks, and along the way constructs cascade measures on the boundaries of multitype Galton-Watson trees. Our class of processes includes Brownian motion subjected to a continuous multifractal time-change. In addition, if we observe our process at a fixed spatial resolution, then we can obtain a finite Markov representation of it, which we can use for on-line simulation. That is, given only the Markov representation at step n, we can generate step n+1 in O(log n) operations. Detailed pseudo-code for this algorithm is provided.
Cite
@article{arxiv.1211.6599,
title = {A class of multifractal processes constructed using an embedded branching process},
author = {Geoffrey Decrouez and Owen Dafydd Jones},
journal= {arXiv preprint arXiv:1211.6599},
year = {2012}
}
Comments
Published in at http://dx.doi.org/10.1214/11-AAP834 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)