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

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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
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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