{"id":"https://openalex.org/W2056243737","doi":"https://doi.org/10.1109/tit.2013.2296785","title":"Multifractal Random Walks With Fractional Brownian Motion via Malliavin Calculus","display_name":"Multifractal Random Walks With Fractional Brownian Motion via Malliavin Calculus","publication_year":2014,"publication_date":"2014-01-31","ids":{"openalex":"https://openalex.org/W2056243737","doi":"https://doi.org/10.1109/tit.2013.2296785","mag":"2056243737"},"language":"en","primary_location":{"id":"doi:10.1109/tit.2013.2296785","is_oa":false,"landing_page_url":"https://doi.org/10.1109/tit.2013.2296785","pdf_url":null,"source":{"id":"https://openalex.org/S4502562","display_name":"IEEE Transactions on Information Theory","issn_l":"0018-9448","issn":["0018-9448","1557-9654"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Transactions on Information Theory","raw_type":"journal-article"},"type":"article","indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/1209.4717","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5026973789","display_name":"Alexis Fauth","orcid":null},"institutions":[{"id":"https://openalex.org/I51101395","display_name":"Universit\u00e9 Paris 1 Panth\u00e9on-Sorbonne","ror":"https://ror.org/002t25c44","country_code":"FR","type":"education","lineage":["https://openalex.org/I51101395"]},{"id":"https://openalex.org/I39804081","display_name":"Sorbonne Universit\u00e9","ror":"https://ror.org/02en5vm52","country_code":"FR","type":"education","lineage":["https://openalex.org/I39804081"]}],"countries":["FR"],"is_corresponding":true,"raw_author_name":"Alexis Fauth","raw_affiliation_strings":["SAMM, Universit\u00e9 de Panth\u00e9on-Sorbonne Paris 1, Paris, France","SAMM, Univ. de Pantheon-Sorbonne Paris 1, Paris, France"],"affiliations":[{"raw_affiliation_string":"SAMM, Universit\u00e9 de Panth\u00e9on-Sorbonne Paris 1, Paris, France","institution_ids":["https://openalex.org/I51101395"]},{"raw_affiliation_string":"SAMM, Univ. de Pantheon-Sorbonne Paris 1, Paris, France","institution_ids":["https://openalex.org/I39804081","https://openalex.org/I51101395"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5109155958","display_name":"Ciprian A. Tudor","orcid":null},"institutions":[{"id":"https://openalex.org/I4210145948","display_name":"Laboratoire Paul Painlev\u00e9","ror":"https://ror.org/043n4fm24","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I1326498283","https://openalex.org/I2279609970","https://openalex.org/I4210141950","https://openalex.org/I4210145948"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Ciprian A. Tudor","raw_affiliation_strings":["Universit\u00e9 de Lille 1, Laboratoire Paul Painlev\u00e9, Villeneuve d'Ascq, France","Lab. Paul Painlev, Univ. de Lille 1, Villeneuve d'Ascq, France"],"affiliations":[{"raw_affiliation_string":"Universit\u00e9 de Lille 1, Laboratoire Paul Painlev\u00e9, Villeneuve d'Ascq, France","institution_ids":["https://openalex.org/I4210145948"]},{"raw_affiliation_string":"Lab. Paul Painlev, Univ. de Lille 1, Villeneuve d'Ascq, France","institution_ids":["https://openalex.org/I4210145948"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5026973789"],"corresponding_institution_ids":["https://openalex.org/I39804081","https://openalex.org/I51101395"],"apc_list":null,"apc_paid":null,"fwci":3.6074,"has_fulltext":false,"cited_by_count":10,"citation_normalized_percentile":{"value":0.93863926,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":97},"biblio":{"volume":"60","issue":"3","first_page":"1963","last_page":"1975"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9997000098228455,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9997000098228455,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9984999895095825,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9878000020980835,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/fractional-brownian-motion","display_name":"Fractional Brownian motion","score":0.7740404605865479},{"id":"https://openalex.org/keywords/multifractal-system","display_name":"Multifractal system","score":0.7502280473709106},{"id":"https://openalex.org/keywords/random-walk","display_name":"Random walk","score":0.6649496555328369},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.6198533773422241},{"id":"https://openalex.org/keywords/brownian-motion","display_name":"Brownian motion","score":0.5894908905029297},{"id":"https://openalex.org/keywords/malliavin-calculus","display_name":"Malliavin calculus","score":0.5566408038139343},{"id":"https://openalex.org/keywords/leverage","display_name":"Leverage (statistics)","score":0.46888017654418945},{"id":"https://openalex.org/keywords/stochastic-calculus","display_name":"Stochastic calculus","score":0.4562694728374481},{"id":"https://openalex.org/keywords/stochastic-process","display_name":"Stochastic process","score":0.4295973777770996},{"id":"https://openalex.org/keywords/statistical-physics","display_name":"Statistical physics","score":0.4147791564464569},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.39297932386398315},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.3247864842414856},{"id":"https://openalex.org/keywords/fractal","display_name":"Fractal","score":0.20887544751167297},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.08675798773765564},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.07346761226654053}],"concepts":[{"id":"https://openalex.org/C108819105","wikidata":"https://www.wikidata.org/wiki/Q1143293","display_name":"Fractional Brownian motion","level":3,"score":0.7740404605865479},{"id":"https://openalex.org/C133905733","wikidata":"https://www.wikidata.org/wiki/Q2629238","display_name":"Multifractal system","level":3,"score":0.7502280473709106},{"id":"https://openalex.org/C121194460","wikidata":"https://www.wikidata.org/wiki/Q856741","display_name":"Random walk","level":2,"score":0.6649496555328369},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6198533773422241},{"id":"https://openalex.org/C112401455","wikidata":"https://www.wikidata.org/wiki/Q178036","display_name":"Brownian motion","level":2,"score":0.5894908905029297},{"id":"https://openalex.org/C11505638","wikidata":"https://www.wikidata.org/wiki/Q6744166","display_name":"Malliavin calculus","level":4,"score":0.5566408038139343},{"id":"https://openalex.org/C153083717","wikidata":"https://www.wikidata.org/wiki/Q6535263","display_name":"Leverage (statistics)","level":2,"score":0.46888017654418945},{"id":"https://openalex.org/C63331456","wikidata":"https://www.wikidata.org/wiki/Q1308570","display_name":"Stochastic calculus","level":4,"score":0.4562694728374481},{"id":"https://openalex.org/C8272713","wikidata":"https://www.wikidata.org/wiki/Q176737","display_name":"Stochastic process","level":2,"score":0.4295973777770996},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.4147791564464569},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.39297932386398315},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.3247864842414856},{"id":"https://openalex.org/C40636538","wikidata":"https://www.wikidata.org/wiki/Q81392","display_name":"Fractal","level":2,"score":0.20887544751167297},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.08675798773765564},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.07346761226654053},{"id":"https://openalex.org/C78045399","wikidata":"https://www.wikidata.org/wiki/Q11214","display_name":"Differential equation","level":2,"score":0.0},{"id":"https://openalex.org/C84629840","wikidata":"https://www.wikidata.org/wiki/Q16979017","display_name":"Stochastic partial differential equation","level":3,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1109/tit.2013.2296785","is_oa":false,"landing_page_url":"https://doi.org/10.1109/tit.2013.2296785","pdf_url":null,"source":{"id":"https://openalex.org/S4502562","display_name":"IEEE Transactions on Information Theory","issn_l":"0018-9448","issn":["0018-9448","1557-9654"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Transactions on Information Theory","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:1209.4717","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1209.4717","pdf_url":"https://arxiv.org/pdf/1209.4717","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":null}],"best_oa_location":{"id":"pmh:oai:arXiv.org:1209.4717","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1209.4717","pdf_url":"https://arxiv.org/pdf/1209.4717","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":null},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":40,"referenced_works":["https://openalex.org/W435829561","https://openalex.org/W1554577510","https://openalex.org/W1972847893","https://openalex.org/W1976865434","https://openalex.org/W1979575715","https://openalex.org/W1986437822","https://openalex.org/W1993817335","https://openalex.org/W1999814123","https://openalex.org/W1999996900","https://openalex.org/W2017769677","https://openalex.org/W2064562192","https://openalex.org/W2075595941","https://openalex.org/W2076209196","https://openalex.org/W2077836371","https://openalex.org/W2085125074","https://openalex.org/W2091530834","https://openalex.org/W2100754476","https://openalex.org/W2104252737","https://openalex.org/W2116912552","https://openalex.org/W2122960498","https://openalex.org/W2145811138","https://openalex.org/W2148090803","https://openalex.org/W2151936778","https://openalex.org/W2156649359","https://openalex.org/W2169471158","https://openalex.org/W2280104794","https://openalex.org/W2503619932","https://openalex.org/W2570279256","https://openalex.org/W2621034497","https://openalex.org/W2762951684","https://openalex.org/W3098086780","https://openalex.org/W3102033631","https://openalex.org/W3121726954","https://openalex.org/W3121850069","https://openalex.org/W3125246470","https://openalex.org/W4230642157","https://openalex.org/W4249942054","https://openalex.org/W4293510232","https://openalex.org/W4298284838","https://openalex.org/W4299559575"],"related_works":["https://openalex.org/W600226944","https://openalex.org/W293962794","https://openalex.org/W2769514467","https://openalex.org/W2029871285","https://openalex.org/W575016353","https://openalex.org/W1976759187","https://openalex.org/W2243583383","https://openalex.org/W2147576019","https://openalex.org/W2003408818","https://openalex.org/W2061630179"],"abstract_inverted_index":{"We":[0,42,66],"introduce":[1],"a":[2,9,20,45],"Multifractal":[3],"Random":[4],"Walk":[5],"(MRW)":[6],"defined":[7],"as":[8],"stochastic":[10],"integral":[11],"of":[12,28,36],"an":[13],"infinitely":[14],"divisible":[15],"noise":[16],"with":[17],"respect":[18],"to":[19],"dependent":[21],"fractional":[22],"Brownian":[23],"motion.":[24],"Using":[25],"the":[26,29,34,54,59,63],"techniques":[27],"Malliavin":[30],"calculus,":[31],"we":[32],"study":[33],"existence":[35],"this":[37],"object":[38],"and":[39],"its":[40],"properties.":[41],"then":[43],"propose":[44],"continuous":[46],"time":[47],"model":[48],"for":[49],"financial":[50],"modeling":[51],"that":[52],"captures":[53],"main":[55],"properties":[56],"observed":[57],"in":[58],"empirical":[60],"data,":[61],"including":[62],"leverage":[64],"effect.":[65],"illustrate":[67],"our":[68],"result":[69],"by":[70],"numerical":[71],"simulations.":[72]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":1},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}