Superposition of Diffusions with Linear Generator and its Multifractal Limit Process

Endre Iglói, György Terdik
2003 E S A I M: Probability & Statistics  
In this paper a new multifractal stochastic process called Limit of the Integrated Superposition of Diffusion processes with Linear differencial Generator (LISDLG) is presented which realistically characterizes the network traffic multifractality. Several properties of the LISDLG model are presented including long range dependence, cumulants, logarithm of the characteristic function, dilative stability, spectrum and bispectrum. The model captures higher-order statistics by the cumulants. The
more » ... e cumulants. The relevance and validation of the proposed model are demonstrated by real data of Internet traffic. Mathematics Subject Classification. 62M10, 60J60, 60G10, 93E12.
doi:10.1051/ps:2003008 fatcat:dhxycfskhvaffbhpwhyxoxtm7i