KPZ formula for log-infinitely divisible multifractal random measures
Rémi Rhodes, Vincent Vargas (2012)
ESAIM: Probability and Statistics
Similarity:
We consider the continuous model of log-infinitely divisible multifractal random measures (MRM) introduced in [E. Bacry et al. (2003) 449–475]. If is a non degenerate multifractal measure with associated metric () = ([]) and structure function ζ, we show that we have the following relation between the (Euclidian) Hausdorff dimension dim of a measurable set and the Hausdorff dimension dim with respect to of the same set: ζ(dim ()) =...