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arXiv 1109.1845math.PR
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关于多维Mandelbrot级联

On multidimensional Mandelbrot's cascades

Dariusz Buraczewski, Ewa Damek, Yves Guivarc'h, Sebastian Mentemeier

摘要:

设$Z$是一个值在真闭凸锥$C\subset \mathbb{R}^d$内的随机变量,$A$是$C$的随机自同态,$N$是一个随机整数.我们假设$Z$、$A$、$N$是独立的。给定$N$独立拷贝$(A_i,Z_i)$的$(A,Z)$,我们定义了一个新的随机变量$\hat Z = \sum_{i=1}^N A_i Z_i$。令$T$是$C$上的概率测度集合上的对应变换,即$T$将$Z$的定律映射到$\hat Z$的定律。当矩阵$\mathbb{E}[N] \mathbb{E} [A]$的优势特征值为1时,研究了具有有限非零期望的$T$的不动点的存在性及其性质.将现有的有关$T$的一维结果扩展到更高的维度。特别地,我们给出了$T$的不动点在极值理论意义下具有多维正则变分的条件,并确定了正则变分的指数。

英文摘要:

Let $Z$ be a random variable with values in a proper closed convex cone $C\subset \mathbb{R}^d$, $A$ a random endomorphism of $C$ and $N$ a random integer. We assume that $Z$, $A$, $N$ are independent. Given $N$ independent copies $(A_i,Z_i)$ of $(A,Z)$ we define a new random variable $\hat Z = \sum_{i=1}^N A_i Z_i$. Let $T$ be the corresponding transformation on the set of probability measures on $C$ i.e. $T$ maps the law of $Z$ to the law of $\hat Z$. If the matrix $\mathbb{E}[N] \mathbb{E} [A]$ has dominant eigenvalue 1, we study existence and properties of fixed points of $T$ having finite nonzero expectation. Existing one dimensional results concerning $T$ are extended to higher dimensions. In particular we give conditions under which such fixed points of $T$ have multidimensional regular variation in the sense of extreme value theory and we determine the index of regular variation.

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