Fractional multiplicative processes

DOI10.1214/08-AIHP198zbMATH Open1201.60035arXiv0902.2902OpenAlexW2027706594MaRDI QIDQ985348FDOQ985348

Julien Barral, Benoît B. Mandelbrot

Publication date: 21 July 2010

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

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 $Hin(0,1)$ the martingale $(B_n{)}_{ngeq1}$ 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 $Hin(1/2,1)$. 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 $Hin(0,1/2]$, 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 $infty$, to the restriction to $[0,1]$ of the standard Brownian motion. Limit theorems are also associated with the case $H>1/2$.

Full work available at URL: https://arxiv.org/abs/0902.2902

zbMATH Keywords

central limit theoremmartingalesBrownian motionrandom functionsHausdorff dimensionfractalslaws stable under random weighted mean

Mathematics Subject Classification ID

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)

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Cited In (12)

• Fractional Negative Binomial and Polya Processes
• Density of imaginary multiplicative chaos via Malliavin calculus
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