Dynamics of Mandelbrot cascades

DOI10.1007/S00440-008-0156-8zbMATH Open1190.60012arXiv0710.1985OpenAlexW1966771429MaRDI QIDQ2391172FDOQ2391172

Authors: Julien Barral, Jacques Peyrière, Zhi-Ying Wen 

Publication date: 24 July 2009

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: Mandelbrot multiplicative cascades provide a construction of a dynamical system on a set of probability measures defined by inequalities on moments. To be more specific, beyond the first iteration, the trajectories take values in the set of fixed points of smoothing transformations (i.e., some generalized stable laws). Studying this system leads to a central limit theorem and to its functional version. The limit Gaussian process can also be obtained as limit of an `additive cascade' of independent normal variables.

Full work available at URL: https://arxiv.org/abs/0710.1985

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zbMATH Keywords

Gaussian processesdynamical systemsmultiplicative cascadesrandom fractalsMandelbrot martingalesadditive cascadesfunction central limit theorem

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Martingales with discrete parameter (60G42) Functional limit theorems; invariance principles (60F17) Sample path properties (60G17) Self-similar stochastic processes (60G18)

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Cited In (17)

• Critical Mandelbrot cascades
• Small deviations in lognormal Mandelbrot cascades
• Diffusions of multiplicative cascades
• Mandelbrot cascades on random weighted trees and nonlinear smoothing transforms
• Multifractal scenarios for products of geometric Lévy-based stationary models
• The fabulous destiny of Mandelbrot cascades
• Mandelbrot cascades and related topics
• An introduction to Mandelbrot cascades
• Limit theorems for multiplicative cascades in a random environment
• Local fluctuations of critical Mandelbrot cascades
• Limit theorems for multifractal products of geometric stationary processes
• Mandelbrot cascade measures independent of branching parameter
• NONANALYTIC DYNAMICS FOR GENERATING THE MANDELBROT SET: A TUTORIAL
• On normalized multiplicative cascades under strong disorder
• Convergence of complex multiplicative cascades
• On multidimensional Mandelbrot cascades
• Title not available (Why is that?)

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