Limiting law of the maximum of a log-correlated Gaussian field

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Let Xt(x)X_t(x) be the log-correlated Gaussian field considered in the source, and let M′M' be its derivative-martingale measure. Define

Yt=sup⁡x∈[0,1]dXt(x)−2d t+322dln⁡t.Y_t=\sup_{x\in[0,1]^d}X_t(x)-\sqrt{2d}\,t+\frac{3}{2\sqrt{2d}}\ln t.

Maximum-law conjecture. There is a constant c>0c>0 and a limiting random variable GdG_d such that YtY_t converges in law to GdG_d as t→∞t\to\infty, with

E[e−qGd]=c−qΓ(1+q2d)E[(M′([0,1]d))−q2d].\mathbb{E}[e^{-qG_d}]=c^{-q}\Gamma\left(1+\frac{q}{\sqrt{2d}}\right)\mathbb{E}\left[(M'([0,1]^d))^{-\frac{q}{\sqrt{2d}}}\right].

Equivalently, for every real uu, the conjectured distribution is

lim⁡t→∞P(Yt  ⩽  u)=E[exp⁡(−c2de−2duM′([0,1]d))].\lim_{t\to\infty}\mathbb{P}(Y_t\;\leqslant\; u)=\mathbb{E}\left[\exp\left(-c^{\sqrt{2d}}e^{-\sqrt{2d}u}M'([0,1]^d)\right)\right].

The centered maximum is known to be tight, and the source derives this prediction heuristically by analogy with branching random walks, where the corresponding result is cited as rigorous. The two formulations are restatements of one conjecture and are merged.

References

Primary source

Bertrand Duplantier, Rémi Rhodes, Scott Sheffield and Vincent Vargas, “Critical Gaussian multiplicative chaos: Convergence of the derivative martingale”, arXiv:1206.1671 (2014).

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