ESAIM: Probability and Statistics

Research Article

KPZ formula for log-infinitely divisible multifractal random measures

Rémi Rhodesa1 and Vincent Vargasa1

a1 Université Paris-Dauphine, Ceremade, CNRS, UMR 7534, 75016 Paris, France. rhodes@ceremade.dauphine.fr; vargas@ceremade.dauphine.fr

Abstract

We consider the continuous model of log-infinitely divisible multifractal random measures (MRM) introduced in [E. Bacry et al. Comm. Math. Phys. 236 (2003) 449–475]. If M is a non degenerate multifractal measure with associated metric ρ(x,y) = M([x,y]) and structure function ζ, we show that we have the following relation between the (Euclidian) Hausdorff dimension dimH of a measurable set K and the Hausdorff dimension dimHρ with respect to ρ of the same set: ζ(dimHρ(K)) = dimH(K). Our results can be extended to all dimensions: inspired by quantum gravity in dimension 2, we focus on the log normal case in dimension 2.

(Received August 17 2009)

(Online publication January 5 2012)

Key Words:

  • Random measures;
  • Hausdorff dimensions;
  • multifractal processes

Mathematics Subject Classification:

  • 60G57;
  • 28A78;
  • 28A80
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