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Multifractal products of stationary diffusion processes
No full textWe investigate the properties of multifractal products of the exponential of stationary diffusion processes defined by stochastic differential equations with linear drift and certain form of the diffusion coefficient corresponding to a variety of marginal distributions. The conditions on the mean, variance and covariance functions of these processes are interpreted in terms of the moment generating functions. We provide three illustrative examples of normal, gamma and beta distributions. We establish the corresponding lognormal, log-gamma and log-beta scenarios for the limiting processes, including their Rényi functions and dependence structure
Limit theorems for local times of fractional Brownian motions and some other self-similar processes
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