Weyl and Riemann–Liouville multifractional Ornstein–Uhlenbeck processes
This paper considers two new multifractional stochastic processes, namely the Weyl multifractional Ornstein-Uhlenbeck process and the Riemann Liouville multifractional Ornstein-Uhlenbeck process. Basic properties of these processes such as locally self-similar property and Hausdorff dimension are st...
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| Format: | Article |
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IOP PUBLISHING LTD
2007
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| Online Access: | http://shdl.mmu.edu.my/3045/ |
| _version_ | 1848790218709139456 |
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| author | Lim, S C Teo, L P |
| author_facet | Lim, S C Teo, L P |
| author_sort | Lim, S C |
| building | MMU Institutional Repository |
| collection | Online Access |
| description | This paper considers two new multifractional stochastic processes, namely the Weyl multifractional Ornstein-Uhlenbeck process and the Riemann Liouville multifractional Ornstein-Uhlenbeck process. Basic properties of these processes such as locally self-similar property and Hausdorff dimension are studied. The relationship between the multifractional Ornstein Uhlenbeck processes and the corresponding multifractional Brownian motions is established. |
| first_indexed | 2025-11-14T18:09:07Z |
| format | Article |
| id | mmu-3045 |
| institution | Multimedia University |
| institution_category | Local University |
| last_indexed | 2025-11-14T18:09:07Z |
| publishDate | 2007 |
| publisher | IOP PUBLISHING LTD |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | mmu-30452011-09-29T05:51:54Z http://shdl.mmu.edu.my/3045/ Weyl and Riemann–Liouville multifractional Ornstein–Uhlenbeck processes Lim, S C Teo, L P T Technology (General) QC Physics This paper considers two new multifractional stochastic processes, namely the Weyl multifractional Ornstein-Uhlenbeck process and the Riemann Liouville multifractional Ornstein-Uhlenbeck process. Basic properties of these processes such as locally self-similar property and Hausdorff dimension are studied. The relationship between the multifractional Ornstein Uhlenbeck processes and the corresponding multifractional Brownian motions is established. IOP PUBLISHING LTD 2007-06 Article NonPeerReviewed Lim, S C and Teo, L P (2007) Weyl and Riemann–Liouville multifractional Ornstein–Uhlenbeck processes. Journal of Physics A: Mathematical and Theoretical, 40 (23). pp. 6035-6060. ISSN 1751-8113 http://dx.doi.org/10.1088/1751-8113/40/23/003 doi:10.1088/1751-8113/40/23/003 doi:10.1088/1751-8113/40/23/003 |
| spellingShingle | T Technology (General) QC Physics Lim, S C Teo, L P Weyl and Riemann–Liouville multifractional Ornstein–Uhlenbeck processes |
| title | Weyl and Riemann–Liouville multifractional Ornstein–Uhlenbeck processes |
| title_full | Weyl and Riemann–Liouville multifractional Ornstein–Uhlenbeck processes |
| title_fullStr | Weyl and Riemann–Liouville multifractional Ornstein–Uhlenbeck processes |
| title_full_unstemmed | Weyl and Riemann–Liouville multifractional Ornstein–Uhlenbeck processes |
| title_short | Weyl and Riemann–Liouville multifractional Ornstein–Uhlenbeck processes |
| title_sort | weyl and riemann–liouville multifractional ornstein–uhlenbeck processes |
| topic | T Technology (General) QC Physics |
| url | http://shdl.mmu.edu.my/3045/ http://shdl.mmu.edu.my/3045/ http://shdl.mmu.edu.my/3045/ |