Fractional multiplicative processes

Central limit and other weak theorems (60F05) Martingales with discrete parameter (60G42) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17) Hausdorff and packing measures (28A78) Self-similar stochastic processes (60G18)

Abstract: Statistically self-similar measures on

[0, 1]

are limit of multiplicative cascades of random weights distributed on the

b

-adic subintervals of

[0, 1]

. These weights are i.i.d, positive, and of expectation

1 / b

. We extend these cascades naturally by allowing the random weights to take negative values. This yields martingales taking values in the space of continuous functions on

[0, 1]

. Specifically, we consider for each

H i n (0, 1)

the martingale

(B_{n})_{n g e q 1}

obtained when the weights take the values

- b^{- H}

and

b^{- H}

, in order to get

B_{n}

converging almost surely uniformly to a statistically self-similar function

B

whose H"{o}lder regularity and fractal properties are comparable with that of the fractional Brownian motion of exponent

H

. This indeed holds when

H i n (1 / 2, 1)

. Also the construction introduces a new kind of law, one that it is stable under random weighted averaging and satisfies the same functional equation as the standard symmetric stable law of index

1 / H

. When

H i n (0, 1 / 2]

, to the contrary,

B_{n}

diverges almost surely. However, a natural normalization factor

a_{n}

makes the normalized correlated random walk

B_{n} / a_{n}

converge in law, as

n

tends to

i n f t y

, to the restriction to

[0, 1]

of the standard Brownian motion. Limit theorems are also associated with the case

H > 1 / 2

.

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