In this article, we consider the continuous analog of the celebrated Mandelbrot star equation with lognormal weights. Mandelbrot introduced this equation to characterize the law of multiplicative cascades. We show existence and uniqueness of measures satisfying the aforementioned continuous equation; these measures fall under the scope of the Gaussian multiplicative chaos theory developed by J.P. Kahane in 1985 (or possibly extensions of this theory). As a by product, we also obtain an explicit characterization of the covariance structure of these measures. We also prove that qualitative properties such as long-range independence or isotropy can be read off the equation.
We study small deviations in Mandelbrot cascades and some related models. Denoting by $Y$ the total mass variable of a Mandelbrot cascade generated by $W$, we show that if $\log \log 1/P(W \leq x) \sim γ\log \log 1/x$ as $x \to 0$ with $γ> 1$, then the Laplace transform of $Y$ satisfies $\log \log 1/\E e^{-t Y} \sim γ\log \log t$ as $t \to \infty$. As an application, this gives new estimates for $\Prob(Y \leq x)$ for small $x > 0$. As another application of our methods, we prove a similar result for a variable arising as a total mass of a lognormal $\star$-scale invariant multiplicative chaos …
An involution is a permutation that is its own inverse. Given a permutation $σ$ of $[n],$ let $\mathbf{N}_{n}(σ)$ denote the number of ways to write $σ$ as a product of two involutions of $[n].$ If we endow the symmetric groups $S_{n}$ with uniform probability measures, then the random variables ${\mathbf N}_{n}$ are asymptotically lognormal. The proof is based upon the observation that, for most permutations $σ$, $\mathbf{N}_{n}(σ)$ can be well approximated by $\mathbf{B}_{n}(σ),$ the product of the cycle lengths of $σ$. Asymptotic lognormality of $\mathbf{N}_{n}$ can therefore be deduced fro…
We consider the sample average of a centered random walk in $\mathbb{R}^d$ with regularly varying step size distribution. For the first exit time from a compact convex set $A$ not containing the origin, we show that its tail is of lognormal type. Moreover, we show that the typical way for a large exit time to occur is by having a number of jumps growing logarithmically in the scaling parameter.
Let $T$ be a random field invariant under the action of a compact group $G$. In the line of previous work we investigate properties of the Fourier coefficients as orthogonality and Gaussianity. In particular we give conditions ensuring that independence of the random Fourier coefficients implies Gaussianity. As a consequence, in general, it is not possible to simulate a non-Gaussian invariant random field through its Fourier expansion using independent coefficients.
We provide a characterization of continuous semimartingales whose law is invariant with respect to predictable random rotations. In particular we prove that all such semimartingales are obtained by integrating a predictable process with respect to an independent $n$ dimensional Brownian motion.
We consider homogeneous random walks in the quarter-plane. The necessary conditions which characterize random walks of which the invariant measure is a sum of geometric terms are provided in [2,3]. Based on these results, we first develop an algorithm to check whether the invariant measure of a given random walk is a sum of geometric terms. We also provide the explicit form of the invariant measure if it is a sum of geometric terms. Secondly, for random walks of which the invariant measure is not a sum of geometric terms, we provide an approximation scheme to obtain error bounds for the perfor…
In this work, we are concerned with existence and uniqueness of invariant measures for path-dependent random diffusions and their time discretizations. The random diffusion here means a diffusion process living in a random environment characterized by a continuous time Markov chain. Under certain ergodic conditions, we show that the path-dependent random diffusion enjoys a unique invariant probability measure and converges exponentially to its equilibrium under the Wasserstein distance. Also, we demonstrate that the time discretization of the path-dependent random diffusion involved admits a u…
We employ an extension of ergodic theory to the random setting to investigate the existence of random periodic solutions of random dynamical systems. Given that a random dynamical system has a dissipative structure, we proved that a random invariant compact set can be expressed as a union of finite of number of random periodic curves. The idea in this paper is closely related to the work recently considered by Zhao and Zheng [46].
We show that real second order freeness appears in the study of Haar unitary and unitarily invariant random matrices when transposes are also considered. In particular we obtain the unexpected result that a unitarily invariant random matrix will be asymptotically free from its transpose.
This is a detailed analysis of invariant measures for one-dimensional dynamical systems with random switching. In particular, we prove smoothness of the invariant densities away from critical points and describe the asymptotics of the invariant densities at critical points.
We classify isomorphism-invariant random digraphs according to where randomness resides, namely, arcs, vertices, and vertices and arcs together which in turn yield arc random digraphs (ARD), vertex random digraphs (VRD) and vertex-arc random digraphs (VARD), respectively. This digraph classification can be viewed as an extension of the classification of isomorphism-invariant random graphs. We introduce randomness in the direction of the edges of a given graph and obtain direction random digraphs (DRD) as well. We classify DRDs according to which component is random in addition to the direction…
We develop the theory of invariant random fields in vector bundles. The spectral decomposition of an invariant random field in a homogeneous vector bundle generated by an induced representation of a compact connected Lie group $G$ is obtained. We discuss an application to the theory of cosmic microwave background, where $G=SO(3)$. A theorem about equivalence of two different groups of assumptions in cosmological theories is proved.
When propagating uncertainty in the data of differential equations, the probability laws describing the uncertainty are typically themselves subject to uncertainty. We present a sensitivity analysis of uncertainty propagation for differential equations with random inputs to perturbations of the input measures. We focus on the elliptic diffusion equation with random coefficient and source term, for which the probability measure of the solution random field is shown to be Lipschitz-continuous in both total variation and Wasserstein distance. The result generalizes to the solution map of any diff…
The qualitative properties of local random invariant manifolds for stochastic partial differential equations with quadratic nonlinearities and multiplicative noise is studied by a cut off technique. By a detail estimates on the Perron fixed point equation describing the local random invariant manifold, the structure near a bifurcation is given.
Random invariant manifolds are geometric objects useful for understanding complex dynamics under stochastic influences. Under a nonuniform hyperbolicity or a nonuniform exponential dichotomy condition, the existence of random pseudo-stable and pseudo-unstable manifolds for a class of \emph{random} partial differential equations and \emph{stochastic} partial differential equations is shown. Unlike the invariant manifold theory for stochastic \emph{ordinary} differential equations, random norms are not used. The result is then applied to a nonlinear stochastic partial differential equation with …
Computations involving invariant random vectors are directly related to the theory of invariants (cf. e.g \cite{Weing_1}). Some simple observations along these lines are presented in this paper. We note in particular that sum of elements of the standard basis of $ O(n)$-invariants is equal to the expectation of a random Veronese tensor up to a known scalar multiplier.
These are the lecture notes from a course given in July 2005 at the summer school in Les Houches. We describe some recent results concerning two-dimensional conformally invariant systems. In particular, we discuss conformally invariant measures on loops and conformal loop-ensembles (CLE).
We study random knots and links in R^3 using the Petaluma model, which is based on the petal projections developed by Adams et al. (2012). In this model we obtain a formula for the distribution of the linking number of a random two-component link. We also obtain formulas for the expectations and the higher moments of the Casson invariant and the order-3 knot invariant v3. These are the first precise formulas given for the distributions of invariants in any model for random knots or links. We also use numerical computation to compare these to other random knot and link models, such as those bas…
In this work we analyze the concept of swap-invariance, which is a weaker variant of exchangeability. A random vector $ξ$ in $\mathbb{R}^n$ is called swap-invariant if $\,{\mathbf E}\,\big| \!\sum_j u_j ξ_j \big|\,$ is invariant under all permutations of $(ξ_1, \ldots, ξ_n)$ for each $u \in \mathbb{R}^n$. We extend this notion to random measures. For a swap-invariant random measure $ξ$ on a measure space $(S,\mathcal{S},μ)$ the vector $(ξ(A_1), \ldots, ξ(A_n))$ is swap-invariant for all disjoint $A_j \in \mathcal{S}$ with equal $μ$-measure. Various characterizations of swap-invariant random me…
