On sojourn of Brownian motion inside moving boundaries

Stéphane Seuret and Xiaochuan Yang

Stochastic Processes and their Applications, 2019, vol. 129, issue 3, 978-994

Abstract: We investigate the large scale structure of certain sojourn sets of one dimensional Brownian motion within two-sided moving boundaries. The macroscopic Hausdorff dimension, upper mass dimension and logarithmic density of these sets, are computed. We also give a uniform macroscopic dimension result for the Brownian level sets.

Keywords: Macroscopic Hausdorff dimension; Mass dimension; Brownian motion; Sojourn sets (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spa.2018.04.002

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