English

Dimension of Fractional Brownian motion with variable drift

Probability 2013-10-28 v1 Classical Analysis and ODEs

Abstract

Let XX be a fractional Brownian motion in Rd\mathbb{R}^d. For any Borel function f:[0,1]Rdf:[0,1] \to \mathbb{R}^d, we express the Hausdorff dimension of the image and the graph of X+fX+f in terms of ff. This is new even for the case of Brownian motion and continuous ff, 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 ff is a self-affine McMullen-Bedford carpet, we obtain an explicit formula for the dimension of the graph of X+fX+f 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 ff and that of XX. Despite the random perturbation, the Minkowski and Hausdorff dimension of the graph of X+fX+f can disagree.

Keywords

Cite

@article{arxiv.1310.7002,
  title  = {Dimension of Fractional Brownian motion with variable drift},
  author = {Yuval Peres and Perla Sousi},
  journal= {arXiv preprint arXiv:1310.7002},
  year   = {2013}
}