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Multifractal properties of sample paths of ground state-transformed jump processes
journal contribution
posted on 2019-01-10, 13:48 authored by Jozsef Lorinczi, Xiaochuan YangWe consider a class of Levy-type processes with unbounded coefficients, arising as Doob h-transforms of Feynman-Kac type representations of non-local Schrodinger operators, where the
function h is chosen to be the ground state of such an operator. First we show existence of a cadlag version of the so-obtained ground state-transformed processes. Next we prove that they satisfy a related stochastic differential equation with jumps. Making use of this SDE, we then derive and prove the multifractal spectrum of local Holder exponents of sample paths of ground state-transformed processes.
History
School
- Science
Department
- Mathematical Sciences
Published in
Chaos, Solitons and FractalsCitation
LORINCZI, J. and YANG, X., 2019. Multifractal properties of sample paths of ground state-transformed jump processes. Chaos, Solitons and Fractals, 120, pp.83-94.Publisher
© ElsevierVersion
- AM (Accepted Manuscript)
Publisher statement
This paper was accepted for publication in the journal Chaos, Solitons and Fractals and the definitive published version is available at https://doi.org/10.1016/j.chaos.2019.01.008.Acceptance date
2019-01-09Publication date
2019-01-31ISSN
0960-0779Publisher version
Language
- en