Abstract
We show that the sample paths of most Lévy processes are multifractal functions and we determine their spectrum of singularities.
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Received: 21 February 1997 / Revised version: 27 July 1998
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Jaffard, S. The multifractal nature of Lévy processes. Probab Theory Relat Fields 114, 207–227 (1999). https://doi.org/10.1007/s004400050224
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DOI: https://doi.org/10.1007/s004400050224
- Mathematics Subject Classification (1991): 28A80, 60G17, 60G30, 60J30