Abstract
Mandelbrot multiplicative cascades provide a construction of a dynamical system on a set of probability measures defined by inequalities on moments. To be more specific, beyond the first iteration, the trajectories take values in the set of fixed points of smoothing transformations (i.e., some generalized stable laws). Studying this system leads to a central limit theorem and to its functional version. The limit Gaussian process can also be obtained as limit of an “additive cascade” of independent normal variables.
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Z.-Y. Wen is partially supported by the National Basic Research Program of China (973 Program) (2007CB814800).
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Barral, J., Peyrière, J. & Wen, ZY. Dynamics of Mandelbrot cascades. Probab. Theory Relat. Fields 144, 615–631 (2009). https://doi.org/10.1007/s00440-008-0156-8
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DOI: https://doi.org/10.1007/s00440-008-0156-8
Keywords
- Multiplicative cascades
- Mandelbrot martingales
- Additive cascades
- Dynamical systems
- Functional central limit theorem
- Gaussian processes
- Random fractals