Extension of the lognormal multifractal limit theorem

Let MM be the lognormal multifractal random measure with parameter γ2\gamma^2, and let the extended singular integral be defined, for x[0,1]x\in[0,1] and continuous ff, by

01(τtx)+γ2f(t)M(dt)=limη0t[0,1];tx>η(τtx)+γ2f(t)M(dt).\int_0^1 \left(\frac{\tau}{|t-x|}\right)_+^{\gamma^2}f(t)M(dt)=\lim_{\eta\to0}\int_{t\in[0,1];\,|t-x|>\eta}\left(\frac{\tau}{|t-x|}\right)_+^{\gamma^2}f(t)M(dt).

Let μz2\mu_z^2 and KzK_z denote the unique constant and bounded function characterized by the limiting equations of Theorem 3, and let υ\upsilon be the probability measure whose Stieltjes transform is μz2\mu_z^2. Extension conjecture. Theorem 3 should hold in the lognormal multifractal case for all γ2[0,2[\gamma^2\in[0,2[, and the limiting equations should be obtained from those of the regularized theorem with 2W=ωϵ2W=\omega_\epsilon as ϵ0\epsilon\to0.

This would extend the main limiting characterization beyond the small-intermittency range required by the paper's proofs, using the extended definition of the singular integral.

Sources & referencesView supporting material

Primary source

Romain Allez, Rémi Rhodes and Vincent Vargas, “Marchenko Pastur type theorem for independent MRW processes: convergence of the empirical spectral measure”, arXiv:1106.5891 (2012).

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