Lognormal -scale invariant random measures
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Publication:1950382
Abstract: In this article, we consider the continuous analog of the celebrated Mandelbrot star equation with lognormal weights. Mandelbrot introduced this equation to characterize the law of multiplicative cascades. We show existence and uniqueness of measures satisfying the aforementioned continuous equation; these measures fall under the scope of the Gaussian multiplicative chaos theory developed by J.P. Kahane in 1985 (or possibly extensions of this theory). As a by product, we also obtain an explicit characterization of the covariance structure of these measures. We also prove that qualitative properties such as long-range independence or isotropy can be read off the equation.
The authors consider the continuous analog of the celebrated Mandelbrot star equation with lognormal weights. Mandelbrot introduced this equation to characterize the law of multiplicative cascades. They show existence and uniqueness of measures satisfying the aforementioned continuous equation; these measures fall under the scope of the Gaussian multiplicative chaos theory developed by Kahane in 1985 (or possibly extensions of this theory). As a by product, they also obtain an explicit characterization of the covariance structure of these measures. They also prove that qualitative properties such as long-range independence or isotropy can be read off the equation.
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Cited in
(32)- Liouville quantum gravity on the unit disk
- Liouville Brownian motion and thick points of the Gaussian free field
- Critical Gaussian chaos: convergence and uniqueness in the derivative normalisation
- Freezing and decorated Poisson point processes
- Volume of metric balls in Liouville quantum gravity
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