Citation
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 Full text not available from this repository.
Official URL: http://dx.doi.org/10.1088/1751-8113/40/23/003
Abstract
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.
Item Type: | Article |
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Subjects: | T Technology > T Technology (General) Q Science > QC Physics |
Divisions: | Faculty of Engineering and Technology (FET) |
Depositing User: | Ms Suzilawati Abu Samah |
Date Deposited: | 29 Sep 2011 05:51 |
Last Modified: | 29 Sep 2011 05:51 |
URII: | http://shdl.mmu.edu.my/id/eprint/3045 |
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