English

A uniform result for the dimension of fractional Brownian motion level sets

Probability 2021-03-09 v1

Abstract

Let B={Bt:t0}B =\{ B_t \, : \, t \geq 0 \} be a real-valued fractional Brownian motion of index H(0,1)H \in (0,1). We prove that the macroscopic Hausdorff dimension of the level sets Lx={tR+:Bt=x}\mathcal{L}_x = \left\{ t \in \mathbb{R}_+ \, : \, B_t=x \right\} is, with probability one, equal to 1H1-H for all xRx\in\mathbb{R}.

Keywords

Cite

@article{arxiv.2003.01423,
  title  = {A uniform result for the dimension of fractional Brownian motion level sets},
  author = {Lara Daw},
  journal= {arXiv preprint arXiv:2003.01423},
  year   = {2021}
}