On exact scaling log-infinitely divisible cascades

• 成果类型: Article
• 署名作者: Barral, Julien; Jin, Xiong
• 署名单位: Universite Paris 13; University of Manchester
• 刊物名称: PROBABILITY THEORY AND RELATED FIELDS
• ISSN/ISSBN: 0178-8051
• DOI: 10.1007/s00440-013-0534-8
• 发表日期: 2014
• 页码: 521-565
• 关键词: iterated random multiplications; invariant distributions; martingales; dimensions; turbulence

摘要

In this paper we extend some classical results valid for canonical multiplicative cascades to exact scaling log-infinitely divisible cascades. We present an alternative construction of exact scaling infinitely divisible cascades based on a family of cones whose geometry naturally induces the exact scaling property. We complete previous results on non-degeneracy and moments of positive orders obtained by Barral and Mandelbrot, and Bacry and Muzy: we provide a necessary and sufficient condition for the non-degeneracy of the limit measures of these cascades, as well as for the finiteness of moments of positive orders of their total mass, extending Kahane's result for canonical cascades. Our main results are analogues to the results by Kahane and Guivarc'h regarding the asymptotic behavior of the right tail of the total mass. They come from a non-independent random difference equation satisfied by the total mass of the measures. The non-independent structure brings new difficulties to study the random difference equation, which we overcome thanks to Dirichlet's multiple integral formula and Goldie's implicit renewal theory. We also discuss the finiteness of moments of negative orders of the total mass, and some geometric properties of the support of the measure.