Moments of random multiplicative functions, I: Low moments, better than squareroot cancellation, and critical multiplicative chaos

We determine the order of magnitude of $\mathbb{E}|\sum_{n \leq x} f(n)|^{2q}$, where $f(n)$ is a Steinhaus or Rademacher random multiplicative function, and $0 \leq q \leq 1$. In the Steinhaus case, this is equivalent to determining the order of $\lim_{T \rightarrow \infty} \frac{1}{T} \int_{0}^{T} |\sum_{n \leq x} n^{-it}|^{2q} dt$. In particular, we find that $\mathbb{E}|\sum_{n \leq x} f(n)| \asymp \sqrt{x}/(\log\log x)^{1/4}$. This proves a conjecture of Helson that one should have better than squareroot cancellation in the first moment, and disproves counter-conjectures of various other authors. We deduce some consequences for the distribution and large deviations of $\sum_{n \leq x} f(n)$. The proofs develop a connection between $\mathbb{E}|\sum_{n \leq x} f(n)|^{2q}$ and the $q$-th moment of a critical, approximately Gaussian, multiplicative chaos, and then establish the required estimates for that. We include some general introductory discussion about critical multiplicative chaos to help readers unfamiliar with that area.