Diffusions of Multiplicative Cascades

Abstract

A multiplicative cascade can be thought of as a randomization of a measure on the boundary of a tree, constructed from an iid collection of random variables attached to the tree vertices. Given an initial measure with certain regularity properties, we construct a continuous time, measure-valued process whose value at each time is a cascade of the initial one. We do this by replacing the random variables on the vertices with independent increment processes satisfying certain moment assumptions. Our process has a Markov property: at any given time it is a cascade of the process at any earlier time by random variables that are independent of the past. It has the further advantage of being a martingale and, under certain extra conditions, it is also continuous. We discuss applications of this process to models of tree polymers and one-dimensional random geometry.