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arXiv · 1609.00666

A Note on Moments of Limit Log Infinitely Divisible Stochastic Measures of Bacry and Muzy

Dmitry Ostrovsky
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Abstract

A multiple integral representation of single and joint moments of the total mass of the limit log-infinitely divisible stochastic measure of Bacry and Muzy [$\textit{Comm. Math. Phys.}$ ${\bf 236}$: 449-475, 2003] is derived. The covariance structure of the total mass of the measure is shown to be logarithmic. A generalization of the Selberg integral corresponding to single moments of the limit measure is proposed and shown to satisfy a recurrence relation. The joint moments of the limit lognormal measure, classical Selberg integral with $λ_1=λ_2=0,$ and Morris integral are represented in the form of multiple binomial sums. For application, low moments of the limit log-Poisson measure are computed exactly and low joint moments of the limit lognormal measure are considered in detail.

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Dmitry Ostrovsky. 2016-09-02. A Note on Moments of Limit Log Infinitely Divisible Stochastic Measures of Bacry and Muzy. https://doi.org/10.1007/s11005-016-0898-7

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