Uniform convergence for complex [0, 1]-martingales
Barral, Julien ; Jin, Xiong ; Mandelbrot, Benoît
Ann. Appl. Probab., Tome 20 (2010) no. 1, p. 1205-1218 / Harvested from Project Euclid
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.
Publié le : 2010-08-15
Classification:  T-martingales,  multiplicative cascades,  continuous function-valued martingales,  multifractals,  60G18,  60G42,  60G44,  28A78
@article{1279638784,
     author = {Barral, Julien and Jin, Xiong and Mandelbrot, Beno\^\i t},
     title = {Uniform convergence for complex [0, 1]-martingales},
     journal = {Ann. Appl. Probab.},
     volume = {20},
     number = {1},
     year = {2010},
     pages = { 1205-1218},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1279638784}
}
Barral, Julien; Jin, Xiong; Mandelbrot, Benoît. Uniform convergence for complex [0, 1]-martingales. Ann. Appl. Probab., Tome 20 (2010) no. 1, pp.  1205-1218. http://gdmltest.u-ga.fr/item/1279638784/