Dimension of fractional Brownian motion with variable drift

被引:5
|
作者
Peres, Yuval [1 ]
Sousi, Perla [2 ]
机构
[1] Microsoft Res, Redmond, WA USA
[2] Univ Cambridge, Cambridge, England
关键词
Brownian motion; Hausdorff dimension; Parabolic dimension; HAUSDORFF DIMENSION; CARPETS; SETS;
D O I
10.1007/s00440-015-0645-5
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
Let X be a fractional Brownian motion in . For any Borel function , we express the Hausdorff dimension of the image and the graph of in terms of f. This is new even for the case of Brownian motion and continuous f, where it was known that this dimension is almost surely constant. The expression involves an adaptation of the parabolic dimension previously used by Taylor and Watson to characterize polarity for the heat equation. In the case when the graph of f is a self-affine McMullen-Bedford carpet, we obtain an explicit formula for the dimension of the graph of in terms of the generating pattern. In particular, we show that it can be strictly bigger than the maximum of the Hausdorff dimension of the graph of f and that of X. Despite the random perturbation, the Minkowski and Hausdorff dimension of the graph of can disagree.
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页码:771 / 794
页数:24
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