Article (Scientific journals)
A UNIFORM RESULT FOR THE DIMENSION OF FRACTIONAL BROWNIAN MOTION LEVEL SETS
Daw, Lara
2020In Statistics and Probability Letters
 

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Keywords :
Fractional Brownian motion; Local times; Macroscopic Hausdorff dimension
Abstract :
[en] Let B={Bt:t≥0} be a real-valued fractional Brownian motion of index H∈(0,1). We prove that the macroscopic Hausdorff dimension of the level sets Lx={t∈R+:Bt=x} is, with probability one, equal to 1−H for all x∈R.
Disciplines :
Mathematics
Author, co-author :
Daw, Lara ;  University of Luxembourg > Faculty of Science, Technology and Medicine (FSTM) > Department of Mathematics (DMATH)
External co-authors :
yes
Language :
English
Title :
A UNIFORM RESULT FOR THE DIMENSION OF FRACTIONAL BROWNIAN MOTION LEVEL SETS
Publication date :
06 November 2020
Journal title :
Statistics and Probability Letters
Available on ORBilu :
since 19 January 2021

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