A note on moments of limit log-infinitely divisible stochastic measures of Bacry and Muzy

DOI10.1007/S11005-016-0898-7zbMATH Open1373.60038arXiv1609.00666OpenAlexW2511843263MaRDI QIDQ528286FDOQ528286

D. Ostrovski

Publication date: 12 May 2017

Published in: Letters in Mathematical Physics (Search for Journal in Brave)

Abstract: A multiple integral representation of single and joint moments of the total mass of the limit log-infinitely divisible stochastic measure of Bacry and Muzy [$extitComm.Math.Phys.$ $$: 449-475, 2003] is derived. The covariance structure of the total mass of the measure is shown to be logarithmic. A generalization of the Selberg integral corresponding to single moments of the limit measure is proposed and shown to satisfy a recurrence relation. The joint moments of the limit lognormal measure, classical Selberg integral with $lambd{a}_1=lambd{a}_2=0,$ and Morris integral are represented in the form of multiple binomial sums. For application, low moments of the limit log-Poisson measure are computed exactly and low joint moments of the limit lognormal measure are considered in detail.

Full work available at URL: https://arxiv.org/abs/1609.00666

zbMATH Keywords

infinite divisibilityintermittencySelberg integralbinomial sumjoint momentsmultiplicative chaos[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy-Khinchine+decomposition&go=Go L��vy-Khinchine decomposition]multifractal stochastic measure

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Random measures (60G57) Factorials, binomial coefficients, combinatorial functions (05A10) Symbolic computation of special functions (Gosper and Zeilberger algorithms, etc.) (33F10)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Multi-variable Zeilberger and Almkvist-Zeilberger algorithms and the sharpening of Wilf-Zeilberger theory
• KPZ formula for log-infinitely divisible multifractal random measures
• Liouville quantum gravity and KPZ
• Freezing and extreme-value statistics in a random energy model with logarithmically correlated potential
• A new approach to constant term identities and Selberg-type integrals
• KPZ in one dimensional random geometry of multiplicative cascades
• Log-infinitely divisible multifractal processes
• Freezing transitions and extreme values: random matrix theory, and disordered landscapes
• Statistical mechanics of logarithmic REM: duality, freezing and extreme value statistics of 1/fnoises generated by Gaussian free fields
• Selberg Integral as a Meromorphic Function
• High values of disorder-generated multifractals and logarithmically correlated processes
• Mellin transform of the limit lognormal distribution
• On Barnes beta distributions, Selberg integral and Riemann xi
• Modelling financial time series using multifractal random walks
• Positive martingales and random measures
• On Barnes beta distributions and applications to the maximum distribution of the 2D Gaussian free field
• Multifractal products of cylindrical pulses
• ON THE STOCHASTIC DEPENDENCE STRUCTURE OF THE LIMIT LOGNORMAL PROCESS
• On exact scaling log-infinitely divisible cascades
• Intermittency expansions for limit lognormal multifractals
• Integral identities and constructions of approximations to zeta-values
• On the limit lognormal and other limit log-infinitely divisible laws

Cited In (2)

• A theory of intermittency differentiation of 1D infinitely divisible multiplicative chaos measures
• A review of conjectured laws of total mass of Bacry–Muzy GMC measures on the interval and circle and their applications

Uses Software

• MultiZeilberger

This page was built for publication: A note on moments of limit log-infinitely divisible stochastic measures of Bacry and Muzy

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q528286)