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

Li-Xin Zhang

Stochastic Processes and their Applications, 1997, vol. 71, issue 1, 91-110

Abstract: 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.

Keywords: Fractal; nature; Hausdorff; dimension; lp-valued; Gaussian; process; Fraction; Brownian; motion; Wiener; and; Ornstein-Uhlenbeck; processes (search for similar items in EconPapers)
Date: 1997
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