5 citations · 5 across the 3 of their papers we have counts for
3 papers
math.PR2012★ 5 cited
A class of multifractal processes constructed using an embedded branching process
Geoffrey Decrouez, Owen Dafydd Jones
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 walk…
math.PR2012
Modulus of continuity of a class of monofractal processes
Geoffrey Decrouez, Ben Hambly, Owen Dafydd Jones
We derive the modulus of continuity of a class of processes called Canonical Embedded Branching Processes (CEBP), recently introduced by Decrouez and Jones, and we establish their…
math.PR2011
Ornstein-Uhlenbeck type processes with heavy distribution tails
K. Borovkov, G. Decrouez
We consider a transformed Ornstein-Uhlenbeck process model that can be a good candidate for modelling real-life processes characterized by a combination of time-reverting behaviour…