Convergence of complex multiplicative cascades

DOI10.1214/09-AAP665MaRDI QIDQ990377zbMATH OpenFDO

Authors Julien Barral, Xiong Jin, Benoît B. Mandelbrot

Publication date 1 September 2010

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0812.4557

continuous function-valued martingales functional central limit theorem laws stable under random weighted mean multifractals multiplicative cascades

Mathematics Subject Classification ID

Hausdorff and packing measures (28A78) Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17) Self-similar stochastic processes (60G18) Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44)

Abstract: The familiar cascade measures are sequences of random positive measures obtained on

[0, 1]

via

b

-adic independent cascades. To generalize them, this paper allows the random weights invoked in the cascades to take real or complex values. This yields sequences of random functions whose possible strong or weak limits are natural candidates for modeling multifractal phenomena. Their asymptotic behavior is investigated, yielding a sufficient condition for almost sure uniform convergence to nontrivial statistically self-similar limits. Is the limit function a monofractal function in multifractal time? General sufficient conditions are given under which such is the case, as well as examples for which no natural time change can be used. In most cases when the sufficient condition for convergence does not hold, we show that either the limit is 0 or the sequence diverges almost surely. In the later case, a functional central limit theorem holds, under some conditions. It provides a natural normalization making the sequence converge in law to a standard Brownian motion in multifractal time.

Review text

Let \(u=u_1\cdots u_n\in\mathcal A^n\) be a word of length \(n\) obtained from the alphabet \(\mathcal A=\{0,\dots,b-1\}\ni u_i\) for some integer \(b\geq2\). Let \(W(u)=(W_0(u),\dots,W_{b-1}(u))\) be i.i.d. complex-valued random vectors for every word \(u\in\bigcup_{n\geq0}\mathcal A^n\). Now write \(u\in[0,1]\) as its \(b\)-adic expansion \(u=\sum_{k\geq1}u_kb^{-k}\) and let \(u|k-1=u_1\cdots u_{k-1}\). The object of study is the sequence of random functions \[ F_n(t)=\int_0^tb^n\prod_{k=1}^nW_{u_k}(u|k-1)\,du \] under the general condition \(\mathbb E[\sum_{i=0}^{b-1}W_i]=1\). The authors give sufficient conditions for almost sure uniform convergence to nontrivial statistically selfsimilar limits and investigate whether the limit is mono- or multifractal. Under strong assumptions on the moments of \(W\), the limit is shown to be monofractal. If the sufficient conditions for almost sure uniform convergence do not hold, the limit is either trivial or diverges almost surely. In this case, the authors provide natural normalizations such that, under suitable conditions, functional weak convergence to a Brownian motion in multifractal time takes place.

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