English

Mandelbrot cascades on random weighted trees and nonlinear smoothing transforms

Probability 2014-12-24 v2

Abstract

We consider complex Mandelbrot multiplicative cascades on a random weigh\-ted tree. Under suitable assumptions, this yields a dynamics \T\T on laws invariant by random weighted means (the so called fixed points of smoothing transformations) and which have a finite moment of order 2. Moreover, we can exhibit two main behaviors: If the weights are conservative, i.e., sum up to~1 almost surely, we find a domain for the initial law μ\mu such that a non-standard (functional) central limit theorem is valid for the orbit (\Tnμ)n0(\T^n\mu)_{n\ge 0} (this completes in a non trivial way our previous result in the case of non-negative Mandelbrot cascades on a regular tree). If the weights are non conservative, we find a domain for the initial law μ\mu over which (\Tnμ)n0(\T^n\mu)_{n\ge 0} converges to the law of a non trivial random variable whose law turns out to be a fixed point of a quadratic smoothing transformation, which naturally extends the usual notion of (linear) smoothing transformation; moreover, this limit law can be built as the limit of a non-negative martingale. Also, the dynamics can be modified to build fixed points of higher degree smoothing transformations.

Keywords

Cite

@article{arxiv.1407.6275,
  title  = {Mandelbrot cascades on random weighted trees and nonlinear smoothing transforms},
  author = {Julien Barral and Jacques Peyrière},
  journal= {arXiv preprint arXiv:1407.6275},
  year   = {2014}
}

Comments

30 pages. This version contains a functional central limit theorem in the quadratic case

R2 v1 2026-06-22T05:11:12.100Z