Limit lognormal process, Selberg integral as Mellin transform, and intermittency differentiation.

Limit lognormal process, Selberg integral as Mellin transform, and intermittency differentiation.

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Dmitry Ostrovsky, Lehigh University
Fine Hall 401

The limit lognormal process is a multifractal stochastic process with the remarkable property that its positive integral moments are given by the celebrated Selberg integral. We will give an overview of the limit lognormal construction followed by a summary of our results on functional Feynman-Kac equations and resulting intermittency expansions that govern its distribution. The talk will focus on the intermittency expansion for the Mellin transform. This expansion recovers Selberg’s formula for the positive integral moments and gives a novel product formula for the negative ones. By summing it in general using a moment constant method, we obtain an extension of Selberg’s finite product to the Mellin transform of a probability distribution in the form of an infinite product of ratios of gamma functions in the complex plane. This distribution is conjectured to be the limit lognormal distribution.