The Weierstrass-Mandelbrot process revisited (Q5950694)

The authors study the so-called Weierstrass-Mandelbrot process, \[ M_r(t)= \sum^\infty_{n=-\infty} (1- e^{ir^nt}) r^{-Hn} e^{i\varphi_n}, \] where the random variables \(\varphi_n\) are independent and have uniform distribution on the interval \([0,2\pi]\) and \(r> 1\). \textit{M. V. Berry} and \textit{Z. V. Lewis} [Proc. R. Soc. Lond., Ser. A 370, 459-484 (1980; Zbl 0435.28008)] made the following observation: the process \(W_r(t)= \sqrt{\ln r}M_r(t)\) has the property that variances of its increments behave as the increments of a complex fractional Brownian motion, when \(r\to 1\). The authors give a proof of this observation and give useful information on related topics.