Multifractal stationary random measures and multifractal random walks with log infinitely divisible scaling laws.

@article{Muzy2002MultifractalSR,
  title={Multifractal stationary random measures and multifractal random walks with log infinitely divisible scaling laws.},
  author={Jean-François Muzy and Emmanuel Bacry},
  journal={Physical review. E, Statistical, nonlinear, and soft matter physics},
  year={2002},
  volume={66 5 Pt 2},
  pages={056121}
}
We define a large class of continuous time multifractal random measures and processes with arbitrary log infinitely divisible exact or asymptotic scaling law. These processes generalize within a unified framework both the recently defined log-normal multifractal random walk [J.F. Muzy, J. Delour, and E. Bacry, Eur. J. Phys. B 17, 537 (2000), E. Bacry, J. Delour, and J.F. Muzy, Phys. Rev. E 64, 026103 (2001)] and the log-Poisson "product of cylindrical pulses" [J. Barral and B.B. Mandelbrot… CONTINUE READING

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