Limit theorems for Mandelbrot's multiplicative cascades
Liu, Quansheng ; Rouault, Alain
Ann. Appl. Probab., Tome 10 (2000) no. 2, p. 218-239 / Harvested from Project Euclid
Let $W \geq 0$ be a random variable with $EW = 1$, and let $Z^{(r)} (r \geq 2)$ be the limit of a Mandelbrot’s martingale, defined as sums of product of independent random weights having the same distribution as $W$, indexed by nodes of a homogeneous $r$-ary tree. We study asymptotic properties of $Z^{(r)}$ as $r \to infty$: we obtain a law of large numbers, a central limit theorem, a result for convergence of moment generating functions and a theorem of large deviations. Some results are extended to the case where the number of branches is a random variable whose distribution depends on a parameter $r$.
Publié le : 2000-02-14
Classification:  Self-similar cascades,  Mandelbrot's martingales,  law of large numbers,  central limit theorem,  convergence of moment generating function,  large deviations,  60G42,  60F05,  60F10
@article{1019737670,
     author = {Liu, Quansheng and Rouault, Alain},
     title = {Limit theorems for Mandelbrot's multiplicative cascades},
     journal = {Ann. Appl. Probab.},
     volume = {10},
     number = {2},
     year = {2000},
     pages = { 218-239},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1019737670}
}
Liu, Quansheng; Rouault, Alain. Limit theorems for Mandelbrot's multiplicative cascades. Ann. Appl. Probab., Tome 10 (2000) no. 2, pp.  218-239. http://gdmltest.u-ga.fr/item/1019737670/