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Journals and Conferences
We consider the continuous model of log-infinitely divisible multifractal random measures (MRM) introduced in . 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… (More)
The purpose of this paper is to introduce a natural multidimensional generalization (MMRM) of the one dimensional multifractal random measures (MRM) introduced by Bacry and Muzy in . The measures M we introduce are different from zero, homogeneous in space, isotropic and satisfy the following exact scale invariance relation: if T denotes some given… (More)
We study a diffusion with time-dependent random coefficients. The diffusion coefficient is allowed to degenerate. We prove an invariance principle when this diffusion is supposed to be controlled by another one with time independent coefficients.
Abstract: In this article, we review the theory of Gaussian multiplicative chaos initially introduced by Kahane’s seminal work in 1985. Though this beautiful paper faded from memory until recently, it already contains ideas and results that are nowadays under active investigation, like the construction of the Liouville measure in 2d-Liouville quantum… (More)
We study a diffusion with random, time dependent coefficients. Moreover, the diffusion coefficient is allowed to degenerate. We prove the invariance principle when this diffusion is supposed to be controlled by another one with time independent coefficients.
This paper deals with homogenization of diffusion processes in a locally stationary random environment. Roughly speaking, such an environment possesses two evolution scales: both a fast microscopic one and a smoothly varying macroscopic one. The homogenization procedure aims at giving a macroscopic approximation that takes into account the microscopic… (More)
This paper is concerned with the construction of atomic Gaussian multiplicative chaos and the KPZ formula in Liouville quantum gravity. On the first hand, we construct purely atomic random measures corresponding to values of the parameter γ2 beyond the transition phase (i.e. γ2 > 2d) and check the duality relation with sub-critical Gaussian multiplicative… (More)
This paper deals with homogenization of second order divergence form parabolic operators with locally stationary coefficients. Roughly speaking, locally stationary coefficients have two evolution scales: both an almost constant microscopic one and a smoothly varying macroscopic one. The homogenization procedure aims to give a macroscopic approximation that… (More)
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… (More)
We investigate a functional limit theorem (homogenization) for Reflected Stochastic Differential Equations on a half-plane with stationary coefficients when it is necessary to analyze both the effective Brownian motion and the effective local time. We prove that the limiting process is a reflected non-standard Brownian motion. Beyond the result, this… (More)