5 papers
Multifractal processes: Definition, properties and new examples
Danijel Grahovac
We investigate stochastic processes possessing scale invariance properties which we refer to as multifractal processes. The examples of such processes known so far do not go much b…
Intermittency and infinite variance: the case of integrated supOU processes
Danijel Grahovac, Nikolai N. Leonenko, Murad S. Taqqu
SupOU processes are superpositions of Ornstein-Uhlenbeck type processes with a random intensity parameter. They are stationary processes whose marginal distribution and dependence…
The multifaceted behavior of integrated supOU processes: The infinite variance case
Danijel Grahovac, Nikolai N. Leonenko, Murad S. Taqqu
The so-called "supOU" processes, namely the superpositions of Ornstein-Uhlenbeck type processes are stationary processes for which one can specify separately the marginal distribut…
Intermittency of trawl processes
Danijel Grahovac, Nikolai N. Leonenko, Murad S. Taqqu
We study the limiting behavior of continuous time trawl processes which are defined using an infinitely divisible random measure of a time dependent set. In this way one is able to…
The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes
Danijel Grahovac, Nikolai N. Leonenko, Anna Sikorskii +1
Superpositions of Ornstein-Uhlenbeck type (supOU) processes form a rich class of stationary processes with a flexible dependence structure. The asymptotic behavior of the integrate…