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I am looking at the paper in the title and I am trying to derive their result in equation $2$. Here is what I obtain. Start with:

$$X(ct) \stackrel{d}{=} M(c)X(t)$$

where $M(.)$ and $X(.)$ are random independent functions of parameters $c$ and $t$. Set $f(t) = ct$, then $f(c^{-1}t)=t$, then

$$X(f(t)) \stackrel{d}{=}M(c)X(f(c^{-1}t))$$, moving along the time axis such that the second term is $t+\Delta t$, we have

$$X(t+f(\Delta t)) \stackrel{d}{=}M(c)X(t+f(c^{-1}\Delta t))$$

or

$$X(t+c\Delta t) \stackrel{d}{=} M(c) X(t+\Delta t)$$

Now subtracting $X(t)$ from both sides:

$$X(t+c\Delta t) - X(t) \stackrel{d}{=} M(c) X(t+\Delta t) - X(t)$$

But the result in the paper is:

$$X(t+c\Delta t) - X(t) \stackrel{d}{=} M(c)(X(t+\Delta t) - X(t))$$

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  • $\begingroup$ equation 2 is not a consequence of equation 1 in Mandelbrot's paper, it's a definition of a separate class of processes $\endgroup$ Commented Jul 16, 2016 at 13:18
  • $\begingroup$ is it a definition then? thank you $\endgroup$
    – naz
    Commented Jul 16, 2016 at 13:20
  • $\begingroup$ I believe it refers to equality in distribution in this case $\endgroup$
    – naz
    Commented Jul 16, 2016 at 13:34

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