A multifractal decomposition according to rate of returns |
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| Authors: | Jihua Ma Zhiying Wen |
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| Institution: | 1. Department of Mathematics, Wuhan University, 430072 Wuhan, P. R. ChinaPhone: +86 27 68752957, Fax: +86 27 68752256;2. Department of Mathematics, Wuhan University, 430072 Wuhan, P. R. China;3. Phone: +86 10 62788976, Fax: +86 10 62785847 |
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| Abstract: | For one‐dimensional simple symmetric random walk, the Hausdorff and packing dimensions of sets of sample paths with prescribed rate of returns to the origin are determined. This gives a multifractal decomposition of the underlying sample space. (© 2007 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim) |
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| Keywords: | Simple symmetry random walk rate of returns fractal dimension |
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