Uniform convergence for complex [0,1]-martingales
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Publication:990376
DOI10.1214/09-AAP664zbMATH Open1208.60035arXiv0812.4556MaRDI QIDQ990376FDOQ990376
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)
Abstract: Positive -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 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.
Full work available at URL: https://arxiv.org/abs/0812.4556
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