Dynamics of Mandelbrot cascades

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

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.

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Let \(\mathcal{P}\) be the set of Borel probability measures on \([0,\infty)\). For \(\mu \in \mathcal{P}\) and \(p>0\) the moment of order \(p\) of \(\mu\) is defined by \[ m_p(\mu) = \int_0^\infty x^p \mu(dx)\,. \] Now for \(b \in \mathbb{N}\) with \(b \geq 2\), let \(\mathcal{P}_b\) be the subset of all \(\mu \in \mathcal{P}\) with the properties \(m_1(\mu)=1\) and \(1<m_2(\mu)<b-1\). Mandelbrot multiplicative cascades provide the construction of a dynamical system \((\mathcal{P}_b,T)\), and the trajectories of the system take values in the set of fixed points of smoothing transformations. The investigation of this system leads to a central limit theorem and to a functional central limit theorem. The limiting Gaussian process can also be obtained as the limit of an additive cascade of independent normal random variables.

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