Poissonian products of random weights: uniform convergence and related measures (Q1884105)

The random multiplicative measures on \({\mathbb R}\) introduced by Mandelbrot are a fundamental particular case of a larger class that is dealt with in this paper. An element \(\mu\) of this class is the vague limit of a continuous-time measure-valued martingale \(\mu_t\), generated by multiplying i.i.d. non-negative random weights, the \((W_M)_{M \in S}\), attached to the points \(M\) of a Poisson point process \(S\), in the strip \(H=\{(x, y) \in {\mathbb R} \times {\mathbb R}_+; 0 < y \leq 1 \}\) of the upper half-plane. The author is interested in giving estimates for the dimension of such a measure. The results give these estimates almost surely for uncountable families \((\mu^{\lambda})_{\lambda \in U}\) of such measures constructed simultaneously, when every measure \(\mu^{\lambda}\) is obtained from a family of random weights \((W_M(\lambda))_{M \in S}\), and \(W_M(\lambda)\) depends smoothly upon the parameter \(\lambda \in U \subset {\mathbb R}\). This problem leads to study the convergence, in several senses, for every \(s \geq 0\), of the function-valued martingale \(Z_t^{(s)}\): \(\lambda \mapsto \mu^{\lambda}_t([0, s])\). The study includes the case of analytic versions of \(Z_t^{(s)}(\lambda)\) where \(\lambda \in {\mathbb C}^n\). The results make it possible to show in certain cases that the dimension of \(\mu^{\lambda}\) depends smoothly upon the parameter. When the Poisson point process is statistically invariant by horizontal translations, this construction provides the new non-decreasing multifractal process with stationary increments \(s \mapsto \mu([0, s])\) for which limit theorems, with uniform versions when \(\mu\) depends on \(\lambda\), are derived.