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Multifractal products of cylindrical pulses

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 New multiplicative and statistically self-similar measures μ are defined on ℝ as limits of measure-valued martingales. Those martingales are constructed by multiplying random functions attached to the points of a statistically self-similar Poisson point process defined in a strip of the plane. Several fundamental problems are solved, including the non-degeneracy and the multifractal analysis of μ. On a bounded interval, the positive and negative moments of diverge under broad conditions.

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First received: 14 September 1999 / Resubmited: 27 June 2001 / Revised version: 30 May 2002 / Published online: 30 September 2002

Mathematics Subject Classification (2002): 28A80, 60G18, 60G44, 60G55, 60G57

Key words or phrases: Random measures – Multifractal analysis – Continuous time martingales – Statistically self-similar Poisson point processes

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Barral, J., Mandelbrot, B. Multifractal products of cylindrical pulses. Probab Theory Relat Fields 124, 409–430 (2002).

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