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On generalized multiplicative cascades

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  • Liu, Quansheng

Abstract

We consider a generalized Mandelbrot's martingale {Yn} and the associated Mandelbrot's measure [mu][omega] on marked trees. If the limit variable Z=lim Yn is not degenerate, we study the asymptotic behavior at infinity of its distribution; in the contrary case, we prove that there is an associated natural martingale Yn* converging to a non-negative random variable Z* with infinite mean. Both Z and Z* lead to non-trivial solution of a distributional equation which extends the notion of stable laws. Precise results are obtained about Hausdorff measures and packing measures of the support of the Mandelbrot's measure.

Suggested Citation

  • Liu, Quansheng, 2000. "On generalized multiplicative cascades," Stochastic Processes and their Applications, Elsevier, vol. 86(2), pages 263-286, April.
    • Handle: RePEc:eee:spapps:v:86:y:2000:i:2:p:263-286
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    Cited by:

    1. Gao, Zhiqiang & Liu, Quansheng, 2016. "Exact convergence rates in central limit theorems for a branching random walk with a random environment in time," Stochastic Processes and their Applications, Elsevier, vol. 126(9), pages 2634-2664.
    2. Li, Yingqiu & Liu, Quansheng & Peng, Xuelian, 2019. "Harmonic moments, large and moderate deviation principles for Mandelbrot’s cascade in a random environment," Statistics & Probability Letters, Elsevier, vol. 147(C), pages 57-65.
    3. Olvera-Cravioto, Mariana, 2012. "Tail behavior of solutions of linear recursions on trees," Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1777-1807.
    4. Bertoin, Jean, 2006. "Different aspects of a random fragmentation model," Stochastic Processes and their Applications, Elsevier, vol. 116(3), pages 345-369, March.
    5. Buraczewski, Dariusz & Damek, Ewa & Mentemeier, Sebastian & Mirek, Mariusz, 2013. "Heavy tailed solutions of multivariate smoothing transforms," Stochastic Processes and their Applications, Elsevier, vol. 123(6), pages 1947-1986.
    6. Buraczewski, Dariusz, 2009. "On tails of fixed points of the smoothing transform in the boundary case," Stochastic Processes and their Applications, Elsevier, vol. 119(11), pages 3955-3961, November.
    7. Buraczewski, D. & Damek, E. & Zienkiewicz, J., 2018. "Pointwise estimates for first passage times of perpetuity sequences," Stochastic Processes and their Applications, Elsevier, vol. 128(9), pages 2923-2951.
    8. Xiaoqiang Wang & Chunmao Huang, 2017. "Convergence of Martingale and Moderate Deviations for a Branching Random Walk with a Random Environment in Time," Journal of Theoretical Probability, Springer, vol. 30(3), pages 961-995, September.
    9. Ghorbel, M. & Huillet, T., 2007. "Additional aspects of the non-conservative Kolmogorov–Filippov fragmentation model," Chaos, Solitons & Fractals, Elsevier, vol. 33(5), pages 1569-1583.
    10. Kuhlbusch, Dirk, 2004. "On weighted branching processes in random environment," Stochastic Processes and their Applications, Elsevier, vol. 109(1), pages 113-144, January.
    11. Basrak, Bojan & Conroy, Michael & Olvera-Cravioto, Mariana & Palmowski, Zbigniew, 2022. "Importance sampling for maxima on trees," Stochastic Processes and their Applications, Elsevier, vol. 148(C), pages 139-179.
    12. Iksanov, Aleksander M., 2004. "Elementary fixed points of the BRW smoothing transforms with infinite number of summands," Stochastic Processes and their Applications, Elsevier, vol. 114(1), pages 27-50, November.
    13. Bassetti, Federico & Matthes, Daniel, 2014. "Multi-dimensional smoothing transformations: Existence, regularity and stability of fixed points," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 154-198.
    14. Quansheng Liu & Emmanuel Rio & Alain Rouault, 2003. "Limit Theorems for Multiplicative Processes," Journal of Theoretical Probability, Springer, vol. 16(4), pages 971-1014, October.
    15. Liu, Quansheng & Watbled, Frédérique, 2009. "Exponential inequalities for martingales and asymptotic properties of the free energy of directed polymers in a random environment," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3101-3132, October.
    16. Decrouez, Geoffrey & Hambly, Ben & Jones, Owen Dafydd, 2015. "The Hausdorff spectrum of a class of multifractal processes," Stochastic Processes and their Applications, Elsevier, vol. 125(4), pages 1541-1568.
    17. Liang, Xingang & Liu, Quansheng, 2020. "Regular variation of fixed points of the smoothing transform," Stochastic Processes and their Applications, Elsevier, vol. 130(7), pages 4104-4140.
    18. Liu, Quansheng, 2001. "Asymptotic properties and absolute continuity of laws stable by random weighted mean," Stochastic Processes and their Applications, Elsevier, vol. 95(1), pages 83-107, September.
    19. Chen, Dayue & de Raphélis, Loïc & Hu, Yueyun, 2018. "Favorite sites of randomly biased walks on a supercritical Galton–Watson tree," Stochastic Processes and their Applications, Elsevier, vol. 128(5), pages 1525-1557.
    20. Najmeddine Attia, 2014. "On the Multifractal Analysis of the Branching Random Walk in $$\mathbb{R }^d$$ R d," Journal of Theoretical Probability, Springer, vol. 27(4), pages 1329-1349, December.
    21. Yueyun Hu, 2017. "Local Times of Subdiffusive Biased Walks on Trees," Journal of Theoretical Probability, Springer, vol. 30(2), pages 529-550, June.
    22. Caliebe, Amke & Rösler, Uwe, 2003. "Fixed points with finite variance of a smoothing transformation," Stochastic Processes and their Applications, Elsevier, vol. 107(1), pages 105-129, September.
    23. Bertoin, Jean, 2008. "Asymptotic regimes for the occupancy scheme of multiplicative cascades," Stochastic Processes and their Applications, Elsevier, vol. 118(9), pages 1586-1605, September.
    24. Yang, Hairuo, 2023. "On the law of terminal value of additive martingales in a remarkable branching stable process," Stochastic Processes and their Applications, Elsevier, vol. 158(C), pages 361-376.

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