On the fractal nature of increments of lp-valued Gaussian processes

We prove that the set of points where exceptional oscillation of lp-valued Gaussian processes occur infinitely often is a random fractal, and evaluate its Hausdorff dimension. Applications to fractional Brownian motions and Ornstein-Uhlenbeck processes are also discussed.

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Year of publication:	1997
Authors:	Zhang, Li-Xin
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 71.1997, 1, p. 91-110
Publisher:	Elsevier
Keywords:	Fractal nature Hausdorff dimension lp-valued Gaussian process Fraction Brownian motion Wiener and Ornstein-Uhlenbeck processes

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875855