Small deviations in lognormal Mandelbrot cascades

Abstract: We study small deviations in Mandelbrot cascades and some related models. Denoting by

Y

the total mass variable of a Mandelbrot cascade generated by

W

, we show that if

l o g l o g 1 / P (W l e q x) s i m g a m m a l o g l o g 1 / x

as

x o 0

with

g a m m a > 1

, then the Laplace transform of

Y

satisfies

l o g l o g 1 / E e^{- t Y} s i m g a m m a l o g l o g t

as

t o i n f t y

. As an application, this gives new estimates for

P r o b (Y l e q x)

for small

x > 0

. As another application of our methods, we prove a similar result for a variable arising as a total mass of a lognormal

s t a r

-scale invariant multiplicative chaos measure.

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