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

zbMATH Keywords

multifractalsmultiplicative cascades\(T\)-martingalescontinuous function-valued martingales

Mathematics Subject Classification ID

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

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.

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Cited in

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