Uniform convergence for complex [0,1]-martingales (Q990376)

The authors study complex-valued \([0,1]\)-martingales which are defined as follows. Let \((\Omega,{\mathcal B},P)\) be a probability space. Denote by \({\mathcal B}([0,1])\) the \(\sigma\)-algebra of Borel subsets of \([0,1]\), and endow \([0,1]\times\Omega\) with the product \(\sigma\)-algebra \({\mathcal B}([0, 1])\otimes{\mathcal B}\). Let \(({\mathcal B}_n)\) be a filtration in \({\mathcal B}\). Let \(Q_1,Q_2,\dots\) be complex-valued measurable functions defined on \([0,1]\) such that for each \(t\in [0,1]\), \((Q_n(t,\cdot),{\mathcal B}_n)_{n\geq 1}\) is a martingale of expectation 1. Such a sequence of functions is called a \([0,1]\)-martingale extending positive \(T\)-martingales which have been studied so far. Given a Radon measure \(\lambda\) on \([0,1]\), \(\mu_n\) is the random complex measure having density \(Q_n\) w.r.t. \(\lambda\). Then a sequence of random continuous functions \(F_n\) can be defined by \[ F_n: t\in [0,1]\mapsto\mu_n([0, t])= \int^t_0 Q_n(u) d\lambda(u),\quad n= 1,2,\dots\;. \] The authors introduce a certain subclass of complex \([0,1]\)-martingales and obtain a general sufficient condition for the almost sure uniform convergence of \((F_n)\) to a nontrivial limit, as well as a result of global Hölder regularity for the limit function. This yields new examples of naturally generated multifractal processes.