Fractional multiplicative processes
Barral, Julien ; Mandelbrot, Benoît
Ann. Inst. H. Poincaré Probab. Statist., Tome 45 (2009) no. 1, p. 1116-1129 / Harvested from Project Euclid
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 H∈(0, 1) the martingale (Bn)n≥1 obtained when the weights take the values −b−H and b−H, in order to get Bn converging almost surely uniformly to a statistically self-similar function B whose Hölder regularity and fractal properties are comparable with that of the fractional Brownian motion of exponent H. This indeed holds when H∈(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 H∈(0, 1/2], to the contrary, Bn diverges almost surely. However, a natural normalization factor an makes the normalized correlated random walk Bn/an converge in law, as n tends to ∞, to the restriction to [0, 1] of the standard Brownian motion. Limit theorems are also associated with the case H>1/2.
Publié le : 2009-11-15
Classification:  Random functions,  Martingales,  Central Limit Theorem,  Brownian motion,  Laws stable under random weighted mean,  Fractals,  Hausdorff dimension,  60F05,  60F15,  60F17,  60G18,  60G42,  28A78
@article{1257529895,
     author = {Barral, Julien and Mandelbrot, Beno\^\i t},
     title = {Fractional multiplicative processes},
     journal = {Ann. Inst. H. Poincar\'e Probab. Statist.},
     volume = {45},
     number = {1},
     year = {2009},
     pages = { 1116-1129},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1257529895}
}
Barral, Julien; Mandelbrot, Benoît. Fractional multiplicative processes. Ann. Inst. H. Poincaré Probab. Statist., Tome 45 (2009) no. 1, pp.  1116-1129. http://gdmltest.u-ga.fr/item/1257529895/