School Seminars and Colloquia

Generation of Multifractal Signals with an Underlying Branching Structure.

School Seminar

by Geoffrey Decrouez

Institution: The University of Melbourne
Date: Tue 21st October 2008
Time: 12:00 PM
Location: Russell Love Theatre, Richard Berry Bldg, The Uni of Melb

Abstract: I will present a new class of fractal processes, called Multifractal Embedded Branching Process (MEBP), which possess an underlying branching structure. MEBP are obtained via a multifractal time change of a discrete self-similar process, the Canonical EBP (CEBP). After reviewing conditions of existence and continuity of MEBP, I will derive an upper bound of the multifractal spectrum of the time change and prove that CEBP are monofractals. Subordinated Brownian motions are particular cases of MEBP processes, which suggests a potential application of MEBP in finance.
Finally, we will see that fractional Brownian motions can be well approximated using a MEBP.

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