title: Multifractal analysis of time series generated by discrete Ito equations.
abstract: In this study, we show that discrete Ito equations with short-tail Gaussian marginal distribution function generate multifractal time series. The multifractality is due to the nonlinear correlations, which are hidden in Markov processes and are generated by the interrelation between the drift and the multiplicative stochastic forces in the Ito equation. A link between the range of the generalized Hurst exponents and the mean of the squares of all averaged net forces is suggested.
authors.affiliation: National Research Council, Institute of Methodologies for Environmental Analysis, C.da S. Loja, 85050 Tito (PZ), Italy.
authors.forename: Luciano
authors.initials: L
authors.lastname: Telesca
authors.affiliation: Institute of Geophysics Polish Academy of Sciences, 01-452 Warsaw, Ks. Janusza 64, Poland.
authors.forename: Zbigniew
authors.initials: Z
authors.lastname: Czechowski
authors.affiliation: ARPAB, 85100 Potenza, Italy.
authors.forename: Michele
authors.initials: M
authors.lastname: Lovallo
mesh_terms: D008962:Models, Theoretical