Hausdorff dimension of the record set of a fractional Brownian motion

被引：5

作者：

Benigni, Lucas ^{[1
]}

Cosco, Clement ^{[1
]}

Shapira, Assaf ^{[1
]}

Wiese, Kay Jorg ^{[2
]}

机构：

[1] Univ Paris Diderot, LPSM, Paris, France

[2] CNRS, Lab Phys Theor Ecole Normale Super, Paris, France

来源：

ELECTRONIC COMMUNICATIONS IN PROBABILITY | 2018年 / 23卷

关键词：

fractional Brownian motion; record set; Hausdorff dimension;

D O I：

10.1214/18-ECP121

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We prove that the Hausdorff dimension of the record set of a fractional Brownian motion with Hurst parameter H equals H.

引用

页数：8

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