Convergence of Probability Measures. By P. Billingsley. Chichester, Sussex, Wiley, 1968. xii, 253 p. 9 1/4“. 117s.

Convergence of Probability Measures

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 gravity or thick points of the Gaussian Free Field. Also, we mention important extensions and generalizations of this theory that have emerged ever since and discuss a whole family of applications, ranging from finance, through the Kolmogorov-Obukhov model of turbulence to $2d$-Liouville quantum gravity. This review also includes new results like the convergence of discretized Liouville measures on isoradial graphs (thus including the triangle and square lattices) towards the continuous Liouville measures (in the subcritical and critical case) or multifractal analysis of the measures in all dimensions.

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Gaussian multiplicative chaos and applications: A review

Ergodic Theory and Information. By P. Billingsley. 64S. 1965. (John Wiley and Sons, Inc.)

We argue that the freezing transition scenario, previously conjectured to occur in the statistical mechanics of 1/f-noise random energy models, governs, after reinterpretation, the value distribution of the maximum of the modulus of the characteristic polynomials pN(θ) of large N×N random unitary (circular unitary ensemble) matrices UN; i.e. the extreme value statistics of pN(θ) when . In addition, we argue that it leads to multi-fractal-like behaviour in the total length μN(x) of the intervals in which |pN(θ)|>Nx,x>0, in the same limit. We speculate that our results extend to the large values taken by the Riemann zeta function ζ(s) over stretches of the critical line of given constant length and present the results of numerical computations of the large values of ). Our main purpose is to draw attention to the unexpected connections between these different extreme value problems.

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Freezing transitions and extreme values: random matrix theory, and disordered landscapes

Gaussian Multiplicative Chaos is a way to produce a measure on ${\mathbb{R}^d}$ (or subdomain of ${\mathbb{R}^d}$) of the form ${e^{\gamma X(x)} dx}$, where X is a log-correlated Gaussian field and ${\gamma \in [0, \sqrt{2d})}$ is a fixed constant. A renormalization procedure is needed to make this precise, since X oscillates between −∞ and ∞ and is not a function in the usual sense. This procedure yields the zero measure when ${\gamma = \sqrt{2d}}$.

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Renormalization of Critical Gaussian Multiplicative Chaos and KPZ Relation

For the two-dimensional one-component Coulomb plasma, we derive an asymptotic expansion of the free energy up to order $N$, the number of particles of the gas, with an effective error bound $N^{1-\kappa}$ for some constant $\kappa > 0$. This expansion is based on approximating the Coulomb gas by a quasi-free Yukawa gas. Further, we prove that the fluctuations of the linear statistics are given by a Gaussian free field at any positive temperature. Our proof of this central limit theorem uses a loop equation for the Coulomb gas, the free energy asymptotics, and rigidity bounds on the local density fluctuations of the Coulomb gas, which we obtained in a previous paper.

The two-dimensional Coulomb plasma: quasi-free approximation and central limit theorem

We study one-dimensional exact scaling lognormal multiplicative chaos measures at criticality. Our main results are the determination of the exact asymptotics of the right tail of the distribution of the total mass of the measure, and an almost sure upper bound for the modulus of continuity of the cumulative distribution function of the measure. We also find an almost sure lower bound for the increments of the measure almost everywhere with respect to the measure itself, strong enough to show that the measure is supported on a set of Hausdorff dimension 0.

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Basic properties of critical lognormal multiplicative chaos

We study Mandelbrot's multiplicative cascade measures at the critical temperature. As has been recently shown by Barral, Rhodes and Vargas (arXiv:1203.5445), an appropriately normalized sequence of cascade measures converges weakly in probability to a nontrivial limit measure. We prove that these limit measures have no atoms and give bounds for the modulus of continuity of the cumulative distribution of the measure. Using the earlier work of Barral and Seuret (2007), we compute the multifractal spectrum of the measures. We also extend the result of Benjamini and Schramm (2009), in which the KPZ formula from quantum gravity is validated for the high temperature cascade measures, to the critical and low temperature cases.

Critical Mandelbrot Cascades

We study Mandelbrot’s multiplicative cascade measures at the critical temperature. As has been recently shown by Barral et al. (C R Acad Sci Paris Ser I 350:535–538, 2012), an appropriately normalized sequence of cascade measures converges weakly in probability to a nontrivial limit measure. We prove that these limit measures have no atoms and give bounds for the modulus of continuity of the cumulative distribution function of the measure. Using the earlier work of Barral and Seuret (Adv Math 214:437–468, 2007), we compute the multifractal spectrum of the measures. We also extend the result of Benjamini and Schramm (Commun Math Phys 289:653–662, 2009), in which the KPZ formula from quantum gravity is validated for the high temperature cascade measures, to the critical and low temperature cases.

We study the classical two-dimensional one-component plasma of $N$ positively charged point particles, interacting via the Coulomb potential and confined by an external potential. For the specific inverse temperature $\beta=1$ (in our normalization), the charges are the eigenvalues of random normal matrices, and the model is exactly solvable as a determinantal point process. For any positive temperature, using a multiscale scheme of iterated mean-field bounds, we prove that the equilibrium measure provides the local particle density down to the optimal scale of $N^{o(1)}$ particles. Using this result and the loop equation, we further prove that the particle configurations are rigid, in the sense that the fluctuations of smooth linear statistics on any scale are $N^{o(1)}$.

Miika Nikula

Papers

The two-dimensional Coulomb plasma: quasi-free approximation and central limit theorem

Basic properties of critical lognormal multiplicative chaos

Critical Mandelbrot Cascades

Critical Mandelbrot Cascades

Local density for two-dimensional one-component plasma