Dynamics of Mandelbrot cascades (Q2391172)

Let \(\mathcal{P}\) be the set of Borel probability measures on \([0,\infty)\). For \(\mu \in \mathcal{P}\) and \(p>0\) the moment of order \(p\) of \(\mu\) is defined by \[ m_p(\mu) = \int_0^\infty x^p \mu(dx)\,. \] Now for \(b \in \mathbb{N}\) with \(b \geq 2\), let \(\mathcal{P}_b\) be the subset of all \(\mu \in \mathcal{P}\) with the properties \(m_1(\mu)=1\) and \(1<m_2(\mu)<b-1\). Mandelbrot multiplicative cascades provide the construction of a dynamical system \((\mathcal{P}_b,T)\), and the trajectories of the system take values in the set of fixed points of smoothing transformations. The investigation of this system leads to a central limit theorem and to a functional central limit theorem. The limiting Gaussian process can also be obtained as the limit of an additive cascade of independent normal random variables.