Multifractal scaling of products of birth–death processes

Abstract

We investigate the scaling properties of products of the exponential of birth–death processes with certain given marginal discrete distributions and covariance structures. The conditions on the mean, variance and covariance functions of the resulting cumulative processes are interpreted in terms of the moment generating functions. We provide four illustrative examples of Poisson, Pascal, binomial and hypergeometric distributions. We establish the corresponding log-Poisson, log-Pascal, log-binomial and log-hypergeometric scenarios for the limiting processes, including their Rényi functions and dependence properties.