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