Uniform convergence for complex [0,1]-martingales

DOI10.1214/09-AAP664MaRDI QIDQ990376zbMATH OpenFDO

Authors Julien Barral, Xiong Jin, Benoît B. Mandelbrot

Publication date 1 September 2010

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0812.4556

\(T\)-martingales continuous function-valued martingales multifractals multiplicative cascades

Hausdorff and packing measures (28A78) Self-similar stochastic processes (60G18) Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44)

Abstract: Positive

T

-martingales were developed as a general framework that extends the positive measure-valued martingales and are meant to model intermittent turbulence. We extend their scope by allowing the martingale to take complex values. We focus on martingales constructed on the interval

T = [0, 1]

and replace random measures by random functions. We specify a large class of such martingales for which we provide a general sufficient condition for almost sure uniform convergence to a nontrivial limit. Such a limit yields new examples of naturally generated multifractal processes that may be of use in multifractal signals modeling.

Review text

The authors study complex-valued \([0,1]\)-martingales which are defined as follows. Let \((\Omega,{\mathcal B},P)\) be a probability space. Denote by \({\mathcal B}([0,1])\) the \(\sigma\)-algebra of Borel subsets of \([0,1]\), and endow \([0,1]\times\Omega\) with the product \(\sigma\)-algebra \({\mathcal B}([0, 1])\otimes{\mathcal B}\). Let \(({\mathcal B}_n)\) be a filtration in \({\mathcal B}\). Let \(Q_1,Q_2,\dots\) be complex-valued measurable functions defined on \([0,1]\) such that for each \(t\in [0,1]\), \((Q_n(t,\cdot),{\mathcal B}_n)_{n\geq 1}\) is a martingale of expectation 1. Such a sequence of functions is called a \([0,1]\)-martingale extending positive \(T\)-martingales which have been studied so far. Given a Radon measure \(\lambda\) on \([0,1]\), \(\mu_n\) is the random complex measure having density \(Q_n\) w.r.t. \(\lambda\). Then a sequence of random continuous functions \(F_n\) can be defined by \[ F_n: t\in [0,1]\mapsto\mu_n([0, t])= \int^t_0 Q_n(u) d\lambda(u),\quad n= 1,2,\dots\;. \] The authors introduce a certain subclass of complex \([0,1]\)-martingales and obtain a general sufficient condition for the almost sure uniform convergence of \((F_n)\) to a nontrivial limit, as well as a result of global Hölder regularity for the limit function. This yields new examples of naturally generated multifractal processes.

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