A UNIFORM RESULT FOR THE DIMENSION OF FRACTIONAL BROWNIAN MOTION LEVEL SETS

Reference : A UNIFORM RESULT FOR THE DIMENSION OF FRACTIONAL BROWNIAN MOTION LEVEL SETS


	Document type :	Scientific journals : Article
	Discipline(s) :	Physical, chemical, mathematical & earth Sciences : Mathematics
	To cite this reference:	http://hdl.handle.net/10993/45678

Title :	A UNIFORM RESULT FOR THE DIMENSION OF FRACTIONAL BROWNIAN MOTION LEVEL SETS
Language :	English
Author, co-author :	Daw, Lara [University of Luxembourg > Faculty of Science, Technology and Medicine (FSTM) > Department of Mathematics (DMATH) >]
Publication date :	6-Nov-2020
Journal title :	Statistics and Probability Letters
Peer reviewed :	No
Audience :	International
Keywords :	[en] 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.
Target :	Researchers
Permalink :	http://hdl.handle.net/10993/45678
DOI :	10.1016/j.spl.2020.108984
Other URL :	https://doi.org/10.1016/j.spl.2020.108984

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