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

Authors: 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

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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)

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Cited In (3)

• On the stochastic dependence structure of the limit lognormal process
• 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

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