Moments, continuity and multifractal analysis of Mandelbrot martingales

Authors
Citation
J. Barral, Moments, continuity and multifractal analysis of Mandelbrot martingales, PROB TH REL, 113(4), 1999, pp. 535-569
Citations number
37
Categorie Soggetti
Mathematics
Journal title
PROBABILITY THEORY AND RELATED FIELDS
ISSN journal
01788051 → ACNP
Volume
113
Issue
4
Year of publication
1999
Pages
535 - 569
Database
ISI
SICI code
0178-8051(199904)113:4<535:MCAMAO>2.0.ZU;2-J
Abstract
Here, a Mandelbrot measure is a statistically self-similar measure mu on th e boundary of a c-ary tree, obtained by multiplying random weights indexed by the nodes of the tree. We take a particular interest in the random varia ble Y = parallel to mu parallel to : we study the existence of finite momen ts of negative orders for Y, conditionally to Y > 0, and the continuity pro perties of Y with respect to the weights. Our results on moments make possi ble to study, with probability one, the existence of a local Holder exponen t for mu, almost everywhere with respect to another Mandelbrot measure, as well as to perform the multifractal analysis of mu, under hypotheses that a re weaker than those usually assumed.