Lévy multiplicative chaos and star scale invariant random structures

R. Rhodes, J. Sohier, V. Vargas

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9 Citaten (Scopus)
65 Downloads (Pure)


In this article, we consider the continuous analog of the celebrated Mandelbrot star equation with infinitely divisible weights. Mandelbrot introduced this equation to characterize the law of multiplicative cascades. We show existence and uniqueness of measures satisfying the aforementioned continuous equation. We obtain an explicit characterization of the structure of these measures, which reflects the constraints imposed by the continuous setting. In particular, we show that the continuous equation enjoys some specific properties that do not appear in the discrete star equation. To that purpose, we define a Lévy multiplicative chaos that generalizes the already existing constructions. Keywords: Random measure, star equation, scale invariance, multiplicative chaos, uniqueness, infinitely divisible processes, multifractal processes.
Originele taal-2Engels
Pagina's (van-tot)689-724
Aantal pagina's36
TijdschriftThe Annals of Probability
Nummer van het tijdschrift2
StatusGepubliceerd - 2014

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