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The multifractal nature of Lévy processes
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  • Published: May 1999

The multifractal nature of Lévy processes

  • Stéphane Jaffard1 

Probability Theory and Related Fields volume 114, pages 207–227 (1999)Cite this article

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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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Authors and Affiliations

  1. Département de Mathématiques, Université Paris XII, Faculté des Sciences et Technologie, 61 Av. du Gal. de Gaulle, F-94010 Créteil Cedex, France¶ C.M.L.A., E.N.S. de Cachan, 61 av. du Président Wilson, F-94235 Cachan Cedex, France. e-mail: jaffard@cmla.ens-cachan.fr, , , , , , FR

    Stéphane Jaffard

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  1. Stéphane Jaffard
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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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  • Issue Date: May 1999

  • DOI: https://doi.org/10.1007/s004400050224

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  • Mathematics Subject Classification (1991): 28A80, 60G17, 60G30, 60J30
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